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Probabilistic optimization via approximate p-efficient points and bundle methods
Ackooij, Wim van; Oliveira, Welington de; Sagastizábal, C. - In: Computers & operations research : and their … 77 (2017), pp. 177-193
Persistent link: https://www.econbiz.de/10011630935
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A derivative-free trust-region algorithm with copula-based models for probability maximization problems
Butyn, Emerson; Karas, Elizabeth W.; Oliveira, Welington de - In: European journal of operational research : EJOR 298 (2022) 1, pp. 59-75
Persistent link: https://www.econbiz.de/10013206808
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Decomposition approaches for block-structured chance-constrained programs with application to hydro-thermal unit commitment
Ackooij, Wim van - In: Mathematical methods of operations research 80 (2014) 3, pp. 227-253
Persistent link: https://www.econbiz.de/10010442262
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A comparison of four approaches from stochastic programming for large-scale unit-commitment
Ackooij, Wim van - In: EURO journal on computational optimization 5 (2017) 1/2, pp. 119-147
Persistent link: https://www.econbiz.de/10011905872
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On conditional cuts for stochastic dual dynamic programming
Ackooij, Wim van; Warin, Xavier - In: EURO journal on computational optimization 8 (2020) 2, pp. 173-199
Persistent link: https://www.econbiz.de/10012240037
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Constraint generation for risk averse two-stage stochastic programs
Mínguez, Roberto; Ackooij, Wim van; García-Bertrand, … - In: European journal of operational research : EJOR 288 (2021) 1, pp. 194-206
Persistent link: https://www.econbiz.de/10012496548
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On probabilistic constraints induced by rectangular sets and multivariate normal distributions
Ackooij, Wim Van; Henrion, René; Möller, Andris; … - In: Mathematical Methods of Operations Research 71 (2010) 3, pp. 535-549
In this paper, we consider optimization problems under probabilistic constraints which are defined by two-sided inequalities for the underlying normally distributed random vector. As a main step for an algorithmic solution of such problems, we prove a derivative formula for (normal)...
Persistent link: https://www.econbiz.de/10010999598
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On probabilistic constraints induced by rectangular sets and multivariate normal distributions
Ackooij, Wim Van; Henrion, René; Möller, Andris; … - In: Computational Statistics 71 (2010) 3, pp. 535-549
In this paper, we consider optimization problems under probabilistic constraints which are defined by two-sided inequalities for the underlying normally distributed random vector. As a main step for an algorithmic solution of such problems, we prove a derivative formula for (normal)...
Persistent link: https://www.econbiz.de/10010759197