Search Results - subject:"Stochastic Programming"

An Integrated Assessment of the Impacts of Changing Climate Variability on Agricultural Productivity and Profitability in an Irrigated Mediterranean Catchment

Dono, Gabriele; Cortignani, Raffaele; Doro, Luca; … - In: Water Resources Management 27 (2013) 10, pp. 3607-3622

. The impacts of the uncertainties related to these changes on costs are evaluated using a Discrete Stochastic Programming …

Persistent link: https://www.econbiz.de/10010997363

Implementing the simplex method as a cutting-plane method, with a view to regularization

Fábián, Csaba; Papp, Olga; Eretnek, Krisztián - In: Computational Optimization and Applications 56 (2013) 2, pp. 343-368

used. This approach is motivated by the recent success of the cutting-plane method in the solution of special stochastic … programming problems. We focus on the special linear programming problem of finding the largest ball that fits into a given …

Persistent link: https://www.econbiz.de/10010998256

Short-term strategies for Dutch wind power producers to reduce imbalance costs

Chaves-Ávila, José Pablo; Hakvoort, Rudi A.; Ramos, … - In: Energy Policy 52 (2013) C, pp. 573-582

The paper assesses bidding strategies for a wind power producer in the Netherlands. To this end, a three-stage stochastic optimization framework is used, maximizing wind power producer's profit using the day-ahead and cross-border intraday market, taking into account available interconnection...

Persistent link: https://www.econbiz.de/10011047349

Water resources management under multi-parameter interactions: A factorial multi-stage stochastic programming approach

Zhou, Yang; Huang, Guo H.; Yang, Boting - In: Omega 41 (2013) 3, pp. 559-573

The paper proposes a factorial multi-stage stochastic programming (FMSP) approach to support water resources management … under uncertainty. This approach was developed based on the conventional inexact multi-stage stochastic programming method …. Five alternative inexact multi-stage stochastic programming algorithms in addition to the conventional algorithm were …

Persistent link: https://www.econbiz.de/10010588308

Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Shapiro, Alexander; Tekaya, Wajdi; Costa, Joari Paulo da; … - In: European Journal of Operational Research 224 (2013) 2, pp. 375-391

In this paper we discuss risk neutral and risk averse approaches to multistage (linear) stochastic programming problems …

Persistent link: https://www.econbiz.de/10010588361

Baringo, L.; Conejo, A.J. - In: Applied Energy 101 (2013) C, pp. 475-482

Stochastic programming constitutes a useful tool to address investment problems. This technique represents uncertain …

Persistent link: https://www.econbiz.de/10010594026

A bilevel model for electricity retailers' participation in a demand response market environment

Zugno, Marco; Morales, Juan Miguel; Pinson, Pierre; … - In: Energy Economics 36 (2013) C, pp. 182-197

Demand response programmes are seen as one of the contributing solutions to the challenges posed to power systems by the large-scale integration of renewable power sources, mostly due to their intermittent and stochastic nature. Among demand response programmes, real-time pricing schemes for...

Persistent link: https://www.econbiz.de/10010616857

Biform game: Reflection as a stochastic programming problem

Summerfield, Nichalin S.; Dror, Moshe - In: International Journal of Production Economics 142 (2013) 1, pp. 124-129

-stage stochastic programming with recourse. The two-stage stochastic programming view of biform games is demonstrated in this paper on … an example from Brandenburger and Stuart (2007) regarding a coordination game. We claim that our stochastic programming …

Persistent link: https://www.econbiz.de/10010616924

Investment models based on clustered scenario trees

Wong, Man Hong - In: European Journal of Operational Research 227 (2013) 2, pp. 314-324

Stochastic programming is widely applied in financial decision problems. In particular, when we need to carry out the …

Persistent link: https://www.econbiz.de/10010617171

AN IMPROVED CONVEX 0-1 QUADRATIC PROGRAM REFORMULATION FOR CHANCE-CONSTRAINED QUADRATIC KNAPSACK PROBLEMS

JI, SHUHUI; ZHENG, XIAOJIN; SUN, XIAOLING - In: Asia-Pacific Journal of Operational Research (APJOR) 30 (2013) 03, pp. 1340009-1

We consider a chance-constrained quadratic knapsack problem (CQKP) where each item has a random size that is finitely distributed. We present a new convex 0-1 quadratic program reformulation for CQKP. This new reformulation improves the existing reformulation for general 0-1 quadratic program...

Persistent link: https://www.econbiz.de/10010671609