Many Optimization problems in engineering and economic involve the challenging task of pondering both conflicting goals and random data. In this paper, we give an up-to-date overview of how important ...

Benders algorithm to solve mixed integer linear programming, especially stochastic programming in seconds! This repo has been archived in 190728. New update will be made to edxu96/MatrixOptim, which ...

Abstract: Linear programming (LP) is a popular method for optimization of a wide range of applications because of its simplicity and availability. However, LP, in its classic form, is not equipped to ...

Abstract: Stochastic (or probabilistic) programming (SP) is an optimization technique in which the constraints and/or the objective function of an optimization problem contain random variables. The ...

DecisionProgramming.jl is a Julia package for solving multi-stage decision problems under uncertainty, modeled using influence diagrams. Internally, it relies on mathematical optimization. Decision ...

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This is a preview. Log in through your library . Abstract The linear programming formulation with random variation in the coefficient matrix is considered. A new model is proposed in which the random ...

This is a preview. Log in through your library . Abstract A method is proposed for finding a closed form expression for the cumulative distribution function (CDF) of the maximum value of the objective ...

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We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...