Displaying similar documents to “A two-stage stochastic optimization model for a gas sale retailer”

Risk objectives in two-stage stochastic programming models

Jitka Dupačová (2008)

Kybernetika

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In applications of stochastic programming, optimization of the expected outcome need not be an acceptable goal. This has been the reason for recent proposals aiming at construction and optimization of more complicated nonlinear risk objectives. We will survey various approaches to risk quantification and optimization mainly in the framework of static and two-stage stochastic programs and comment on their properties. It turns out that polyhedral risk functionals introduced in Eichorn...

Bound-based decision rules in multistage stochastic programming

Daniel Kuhn, Panos Parpas, Berç Rustem (2008)

Kybernetika

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We study bounding approximations for a multistage stochastic program with expected value constraints. Two simpler approximate stochastic programs, which provide upper and lower bounds on the original problem, are obtained by replacing the original stochastic data process by finitely supported approximate processes. We model the original and approximate processes as dependent random vectors on a joint probability space. This probabilistic coupling allows us to transform the optimal solution...

A second-order stochastic dominance portfolio efficiency measure

Miloš Kopa, Petr Chovanec (2008)

Kybernetika

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In this paper, we introduce a new linear programming second-order stochastic dominance (SSD) portfolio efficiency test for portfolios with scenario approach for distribution of outcomes and a new SSD portfolio inefficiency measure. The test utilizes the relationship between CVaR and dual second-order stochastic dominance, and contrary to tests in Post [Post] and Kuosmanen [Kuosmanen], our test detects a dominating portfolio which is SSD efficient. We derive also a necessary condition...