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A deep reinforcement learning framework for solving two-stage stochastic programs
In this study, we present a deep reinforcement learning framework for solving scenario-based two-stage stochastic programming problems. Stochastic...
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Pure characteristics demand models and distributionally robust mathematical programs with stochastic complementarity constraints
We formulate pure characteristics demand models under uncertainties of probability distributions as distributionally robust mathematical programs...
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Stochastic mathematical programs with probabilistic complementarity constraints: SAA and distributionally robust approaches
In this paper, a class of stochastic mathematical programs with probabilistic complementarity constraints is considered. We first investigate...
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Nonconvex and Nonsmooth Approaches for Affine Chance-Constrained Stochastic Programs
Chance-constrained programs (CCPs) constitute a difficult class of stochastic programs due to its possible nondifferentiability and nonconvexity even...
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Discrete Approximation and Convergence Analysis for a Class of Decision-Dependent Two-Stage Stochastic Linear Programs
Customary stochastic programming with recourse assumes that the probability distribution of random parameters is independent of decision variables....
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A decomposition method for distributionally-robust two-stage stochastic mixed-integer conic programs
We develop a decomposition algorithm for distributionally-robust two-stage stochastic mixed-integer convex conic programs, and its important special...
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Rosenbrock-Type Methods for Solving Stochastic Differential Equations
AbstractThis paper reviews recent publications that describe mathematical models with stochastic differential equations (SDEs) and applications in...
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Consistency of statistical estimators of solutions to stochastic optimization problems
We consider the asymptotic behavior of the infimal values and the statistical estimators of the solutions to a general stochastic optimization...
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Stochastic Programming Models
In this chapter, we present formulations of stochastic programs involving risk aversion and describe their properties. Risk aversion is very...
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Bi-objective multistage stochastic linear programming
We propose an algorithm for solving a class of bi-objective multistage stochastic linear programs. We show that the cost-to-go functions are saddle...
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Sampling-Based Stochastic Linear Programming Methods
In this chapter, we study statistical methods for mean-risk two-stage stochastic linear programs (MR-SLP). We use the theoretical properties of the...
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Optimality Conditions in DC-Constrained Mathematical Programming Problems
This paper provides necessary and sufficient optimality conditions for abstract-constrained mathematical programming problems in locally convex...
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Monotonicity and Complexity of Multistage Stochastic Variational Inequalities
In this paper, we consider multistage stochastic variational inequalities (MSVIs). First, we give multistage stochastic programs and multistage...
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Sensitivity Analysis of Stochastic Constraint and Variational Systems via Generalized Differentiation
This paper conducts sensitivity analysis of random constraint and variational systems related to stochastic optimization and variational...
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A Bayesian approach to data-driven multi-stage stochastic optimization
Aimed at sufficiently utilizing available data and prior distribution information, we introduce a data-driven Bayesian-type approach to solve...
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Stochastic and deterministic mathematical model of cholera disease dynamics with direct transmission
In this paper we develop a stochastic mathematical model of cholera disease dynamics by considering direct contact transmission pathway. The model...
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Mathematical Models: Perspectives of Mathematical Modelers and Public Health Professionals
This chapter describes mathematical epidemiology from the perspectives of mathematical modelers and public health professionals. The mathematical...
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An efficient scenario penalization matheuristic for a stochastic scheduling problem
We propose a new scenario penalization matheuristic for a stochastic scheduling problem based on both mathematical programming models and local...
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A Stochastic Nesterov’s Smoothing Accelerated Method for General Nonsmooth Constrained Stochastic Composite Convex Optimization
We propose a novel stochastic Nesterov’s smoothing accelerated method for general nonsmooth, constrained, stochastic composite convex optimization,...
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Numerical Stochastic Simulation of Spatially Heterogeneous Population
AbstractA continuous-discrete stochastic model is constructed to describe the evolution of a spatially heterogeneous population. The population...
