Kall Mayer
Fakultäten » Wirtschaftswissenschaftliche Fakultät » Betriebswirtschaftslehre, Institut für » Prof. Dr. Peter Kall (emeritiert) » Kall Mayer
Completed research project
| Title / Titel | Stochastic Programs with Recourse | ||||
|---|---|---|---|---|---|
| Abstract (PDF, 14 KB) | |||||
| Summary / Zusammenfassung | For stochastic programs with recourse (two-stage programs) for cases of -- continuous distributions, discrete approximation schemes are designed, investigated and implemented; -- discrete distributions, appropriate solvers exploiting the particular data structures of the problems are designed, implemented and computationally tested (using our model management system SLP-IOR as a workbench); -- SLP problems which can be reformulated as stochastic programs with recourse (e.g., problems concerning minimizing Conditional Value-at-Risk), including algorithmic aspects. |
||||
| Publications / Publikationen | P. Kall and S.W. Wallace: "Stochastic Programming", John Wiley & Sons, Chichester, 1994.P. Kall and J. Mayer: "Stochastic Linear Programming. Models, Theory, and Computation", Second Edition, International Series in Operations Research 156, Springer Verlag, 2010.P. Kall and J. Mayer: "Some insights into the solution algorithms for SLP problems", Annals of Operations Research, 142:147-164, 2006.J. Mayer: "On the numerical solution of stochastic optimization problems", in F. Ceragioli, A. Dontchev, H. Futura, K. Marti, and L. Pandolfi, editors, System Modeling and Optimization, pp. 193-206. Springer Verlag, 2006.Weitere Informationen | ||||
| Keywords / Suchbegriffe | stochastic programming, stochastic programs with recourse, two-stage stochastic programs, discretization in stochastic programs | ||||
| Project leadership and contacts / Projektleitung und Kontakte |
|
||||
| Funding source(s) / Unterstützt durch |
Universität Zürich (position pursuing an academic career), Forschungskredit der Universität Zürich |
||||
| Duration of Project / Projektdauer | Oct 1992 to Sep 2010 |