Stochastic programming can effectively describe many decision-making problems in uncertain environments. Unfortunately, such programs are often computationally demanding to solve. In addition, their ...

Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

The two last sections are devoted to applications of the cutting hyperplane algorithm to a linear optimal control problem and stochastic programming problems. SIAM Journal on Applied Mathematics ...

Stochastic Sauna is a traditional workshop that brings together researchers and students working on probability, statistics, and their applications. The 2022 occasion will be held on 20th December ...

Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications to finance Csaba I. Fábián, Anna Veszprémi ...

The problem is solved using a multi-stage stochastic linear programming (SLP) model to generalize the closed-form solution obtained by Richard (1975). We account for aspects of the application of the ...

Stochastic processes provide a probabilistic framework to model the time-evolving uncertainty intrinsic to financial markets. By characterising random movements such as asset prices, interest ...