An optimal decision and control model was developed and used for dual purpose allocation of water from a reservoir. The model was constructed for the Hazbani-Dan Water System in the Upper Galilee (Israel). In this system about half of the Dan River water enters and is stored in a reservoir and...

A two-stage decision and control model for the operation of the power station in the Hazbani-Dan Water System (Israel) was developed and implemented. In this system, river water is stored and then either consumed by agricultural farms or released to a hydroelectric power station. Under...

This paper studies a problem of determining the level of certain decisions, taken prior to certain events taking place, and the subsequent additional resource procurement decisions needed to implement the initial program once these events have materialised. The problem is formulated first of all...

Drawing on recent developments in discrete time fixed income options theory, we propose a stochastic programming procedure, which we call stochastic dedication, for managing asset/liability portfolios with interest rate contingent claims. The model uses scenario generation to combine...

We present a variant of Karmarkar's algorithm for block-angular structured linear programs, such as stochastic linear programs. By computing the projection efficiently, we give a worst-case bound on the order of the running time that can be an order of magnitude better than that of Karmarkar's...

We consider a stochastic version of the Stackelberg-Nash-Cournot model proposed by Murphy et al. (Murphy, F. H., H. D. Sherali, A. L. Soyester. 1983. Stackelberg-Nash-Cournot equilibria characterizations and computations. Oper. Res. 31 253--276.). In the first stage, the leader chooses and...

Some important conceptual problems concerning the application of chance constrained programming (CCP) to risky practical decision problems are discussed by comparing CCP to stochastic programming with recourse (SPR). We expand on Garstka's distinction between mathematical equivalence and...

We consider the problem of optimizing inventories for problems where the demand distribution is unknown, and where it does not necessarily follow a standard form such as the normal. We address problems where the process of deciding the inventory, and then realizing the demand, occurs repeatedly....