Displaying similar documents to “Stochastic geometric programming with an application”

Stochastic goal programming wth recourse

Antonio Heras Martínez, Ana García Aguado (1998)

Revista de la Real Academia de Ciencias Exactas Físicas y Naturales

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In this article we discuss several alternative formulations for Stochastic Goal Programming. Only one of these models, which is a particular case of the Stochastic Programs with Recourse, is also compatible with Bayesian Decision Theory. Moreover, it is posible to approximate its solutions by means of an iterative algorithm.

Optimum beam design via stochastic programming

Eva Žampachová, Pavel Popela, Michal Mrázek (2010)

Kybernetika

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The purpose of the paper is to discuss the applicability of stochastic programming models and methods to civil engineering design problems. In cooperation with experts in civil engineering, the problem concerning an optimal design of beam dimensions has been chosen. The corresponding mathematical model involves an ODE-type constraint, uncertain parameter related to the material characteristics and multiple criteria. As a~result, a~multi-criteria stochastic nonlinear optimization model...

Decomposition of large-scale stochastic optimal control problems

Kengy Barty, Pierre Carpentier, Pierre Girardeau (2010)

RAIRO - Operations Research

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In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale subsystems linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline...