Search Results - subject:"STOCHASTIC PROGRAMMING"

A primal-dual decomposition based interior point approach to two-stage stochastic linear programming

Berkelaar, A.B.; Dert, C.L.; Oldenkamp, K.P.B.; Zhang, S. - Erasmus University Rotterdam, Econometric Institute - 1999

Decision making under uncertainty is a challenge faced by many decision makers. Stochastic programming is a major tool … bond-portfolio management. Computationally however, many models in stochastic programming remain unsolvable because of … are based on decomposing the data. In this paper we propose a new decomposition approach for two-stage stochastic …

Persistent link: https://www.econbiz.de/10008584704

Linear Programming Models for the User and System Optimal Dynamic Network Design Problem: Formulations, Comparisons and Extensions

Ukkusuri, Satish; Waller, S. - In: Networks and Spatial Economics 8 (2008) 4, pp. 383-406

Persistent link: https://www.econbiz.de/10005537005

A Fuzzy Stochastic Dynamic Nash Game Analysis of Policies for Managing Water Allocation in a Reservoir System

Ganji, A.; Khalili, D.; Karamouz, M.; Ponnambalam, K.; … - In: Water Resources Management 22 (2008) 1, pp. 51-66

In this paper a fuzzy dynamic Nash game model of interactions between water users in a reservoir system is presented. The model represents a fuzzy stochastic non-cooperative game in which water users are grouped into four players, where each player in game chooses its individual policies to...

Persistent link: https://www.econbiz.de/10010794424

Scheduling at coal handling facilities using Simulated Annealing

Conradie, David; Morison, Leilani; Joubert, Johan - In: Computational Statistics 68 (2008) 2, pp. 277-293

The main thrust of this study is the operational scheduling of the continuous coal handling and blending processes when considering multiple, and sometimes conflicting, objectives. A widely applicable generic goal programming model is proposed. Furthermore, assumptions regarding the certainty of...

Persistent link: https://www.econbiz.de/10010847523

Scheduling at coal handling facilities using Simulated Annealing

Conradie, David; Morison, Leilani; Joubert, Johan - In: Mathematical Methods of Operations Research 68 (2008) 2, pp. 277-293

Persistent link: https://www.econbiz.de/10010949959

A Stochastic Non-linear Programming Model for a Multi-period Water Resource Allocation with Multiple Objectives

Higgins, Andrew; Archer, Ainsley; Hajkowicz, Stefan - In: Water Resources Management 22 (2008) 10, pp. 1445-1460

A rapid increase in demand and severe droughts in recent years has increased the pressure on water supplies throughout most parts of Australia. This has resulted in the need for tools to allocate limited water across users in different regions, and explore scenarios so as to achieve economic,...

Persistent link: https://www.econbiz.de/10010998158

A Pricing Mechanism for Resource Management in Grid Computing

Parpas, Panos; Rustem, Berç - In: Computational Economics 31 (2008) 4, pp. 381-395

Persistent link: https://www.econbiz.de/10005808950

Portfolio selection with transaction costs under expected shortfall constraints

Breuer, Thomas; Jandačka, Martin - In: Computational Management Science 5 (2008) 4, pp. 305-316

Persistent link: https://www.econbiz.de/10005596538

Booking models for hotel revenue management considering multiple-day stays

Liu, S.; Lai, K.K.; Wang, S.Y. - In: International Journal of Revenue Management 2 (2008) 1, pp. 78-91

every booking period and every reservation may cover several days. A stochastic programming model with semi …

Persistent link: https://www.econbiz.de/10005751547

Booking models for hotel revenue management considering multiple-day stays

Liu, S.; Lai, K.K.; Wang, S.Y. - In: International Journal of Revenue Management 2 (2008) 1, pp. 78-91

every booking period and every reservation may cover several days. A stochastic programming model with semi …

Persistent link: https://www.econbiz.de/10008539548