Manufacturing and service operations decisions depend critically on capacity and resource limits. These limits directly affect the risk inherent in those decisions. While risk consideration is well developed in finance through efficient market theory and the capital asset pricing model,...

Solutions of portfolio optimization problems are often influenced by errors or misspecifications due to approximation, estimation and incomplete information. Selected methods for analysis of results obtained by solving stochastic programs are presented and their scope illustrated on generic...

Solutions of portfolio optimization problems are often influenced by errors or misspecifications due to approximation, estimation and incomplete information. Selected methods for analysis of results obtained by solving stochastic programs are presented and their scope illustrated on generic...

Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original...

In this paper, an interior-point based global filtering algorithm is proposed to solve linear programming problems with the right-hand-side and cost vectors being stochastic. Previous results on the limiting properties of the Kalman filtering process have been extended to handle some...

Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original...