SSRN Author: Maarten H. van der VlerkMaarten H. van der Vlerk SSRN Content
http://www.ssrn.com/author=2601279
http://www.ssrn.com/rss/en-usSun, 27 Nov 2016 13:10:01 GMTeditor@ssrn.com (Editor)Sun, 27 Nov 2016 13:10:01 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0New: Efficient Methods for Several Classes of Ambiguous Stochastic Programming Problems Under Mean-MAD InformationWe consider decision making problems under uncertainty, assuming that only partial distributional information is available - as is often the case in practice. In such problems, the goal is to determine here-and-now decisions, which optimally balance deterministic immediate costs and worst-case expected future costs. These problems are challenging, since the worst-case distribution needs to be determined while the underlying problem is already a difficult multistage recourse problem. Moreover, as found in many applications, the model may contain integer variables in some or all stages. Applying a well-known result by Ben-Tal and Hochman (1972), we are able to efficiently solve such problems without integer variables, assuming only readily available distributional information on means and mean-absolute deviations. Moreover, we extend the result to the non-convex integer setting by means of convex approximations (see Romeijnders et al. (2016a)), proving corresponding performance bounds. ...
http://www.ssrn.com/abstract=2845229
http://www.ssrn.com/1531799.htmlThu, 29 Sep 2016 18:21:57 GMT