RSS 1.0Gerenciamento da Produção de Eletricidade no Brasil / RP
Recent Submissions
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Robust production management
2016The problem of production management can often be cast in the form of a linear program with uncertain parameters and risk constraints. Typically, such problems are treated in the framework of multi-stage Stochastic ... -
Non-asymptotic confidence bounds for the optimal value of a stochastic program
2016We discuss a general approach to building non-asymptotic confidence bounds for stochastic optimization problems. Our principal contribution is the observation that a Sample Average Approximation of a problem supplies upper ... -
Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
2016We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable con dence intervals on the optimal value of such stochastic programs using the Robust Stochastic ... -
Joint dynamic probabilistic constraints with projected linear decision rules
2016We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see ... -
Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
2016We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the ...
