Reduction of dimensionality in dynamic programming-based solution methods for nonlinear integer programming.
Résolution de problèmes d'optimisation dynamique par programmation dynamique marginaliste
Risk objectives in two-stage stochastic programming models
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 and Römisch...
Routage des voiliers et programmation dynamique