Computation of S-adapted Equilibria in Piecewise Deterministic Games via Stochastic Programming Methods

2001 ◽  
pp. 225-252 ◽  
Author(s):  
Alain Haurie ◽  
Francesco Moresino
Keyword(s):  
Stochastic Programming

Nonlinear Stochastic Programming Involving CVaR in the Objective and Constraints

Informatica ◽  
2015 ◽  
Vol 26 (4) ◽  
pp. 569-591 ◽  
Author(s):  
Valerijonas Dumskis ◽  
Leonidas Sakalauskas
Keyword(s):  
Stochastic Programming

scholarly journals Contracts in electricity markets under EU ETS: A stochastic programming approach

2021 ◽  
pp. 105309
Author(s):  
Arega Getaneh Abate ◽  
Rossana Riccardi ◽  
Carlos Ruiz
Keyword(s):  
Stochastic Programming ◽  
Electricity Markets ◽  
Programming Approach ◽  
Eu Ets

scholarly journals A column-and-constraint generation algorithm for two-stage stochastic programming problems

Top ◽  
2021 ◽  
Author(s):  
Denise D. Tönissen ◽  
Joachim J. Arts ◽  
Zuo-Jun Max Shen
Keyword(s):  
Stochastic Programming ◽  
Benders Decomposition ◽  
Equivalent Model ◽  
Computational Time ◽  
Two Stage ◽  
Generation Algorithm ◽  
Constraint Generation ◽  
Deterministic Equivalent ◽  
Location Routing ◽  
Relative Tolerance

AbstractThis paper presents a column-and-constraint generation algorithm for two-stage stochastic programming problems. A distinctive feature of the algorithm is that it does not assume fixed recourse and as a consequence the values and dimensions of the recourse matrix can be uncertain. The proposed algorithm contains multi-cut (partial) Benders decomposition and the deterministic equivalent model as special cases and can be used to trade-off computational speed and memory requirements. The algorithm outperforms multi-cut (partial) Benders decomposition in computational time and the deterministic equivalent model in memory requirements for a maintenance location routing problem. In addition, for instances with a large number of scenarios, the algorithm outperforms the deterministic equivalent model in both computational time and memory requirements. Furthermore, we present an adaptive relative tolerance for instances for which the solution time of the master problem is the bottleneck and the slave problems can be solved relatively efficiently. The adaptive relative tolerance is large in early iterations and converges to zero for the final iteration(s) of the algorithm. The combination of this relative adaptive tolerance with the proposed algorithm decreases the computational time of our instances even further.

scholarly journals CONSTRAINT QUALIFICATIONS IN PARTIAL IDENTIFICATION

2021 ◽  
pp. 1-24
Author(s):  
Hiroaki Kaido ◽  
Francesca Molinari ◽  
Jörg Stoye
Keyword(s):  
Stochastic Programming ◽  
Constraint Qualification ◽  
Constraint Qualifications ◽  
Partial Identification ◽  
Moment Inequalities ◽  
Pure Moment ◽  
High Level

The literature on stochastic programming typically restricts attention to problems that fulfill constraint qualifications. The literature on estimation and inference under partial identification frequently restricts the geometry of identified sets with diverse high-level assumptions. These superficially appear to be different approaches to closely related problems. We extensively analyze their relation. Among other things, we show that for partial identification through pure moment inequalities, numerous assumptions from the literature essentially coincide with the Mangasarian–Fromowitz constraint qualification. This clarifies the relation between well-known contributions, including within econometrics, and elucidates stringency, as well as ease of verification, of some high-level assumptions in seminal papers.

Predictive stochastic programming

2021 ◽  
Author(s):  
Yunxiao Deng ◽  
Suvrajeet Sen
Keyword(s):  
Stochastic Programming
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