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Filtering by: Keyword Stochastic Programming Resource type Dissertation

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Risk-averse and Distributionally Robust Multistage Stochastic Optimization

Description:

This dissertation investigates a number of models and algorithms in the context of optimization under uncertainty. The focus is on risk-averse optimization, where risk aversion is modeled via stochastic dominance, utility theory, and distributionally robust optimization. We first investigate an investment model with fixed contribution rates, optimize asset-allocation decisions in...

Keyword:

Stochastic Programming, Wasserstein distance, and Distributionally robust optimization

Subject:

Operations research

Creator:

Duque Villarreal, Daniel

Owner:

Scholarly Digital Publishing

Language:

en

Date Uploaded:

02/01/2021

Date Created:

2020-01-01

Resource Type:

Dissertation

Alternate Identifier:

etdadmin_upload_763341 and http://dissertations.umi.com/northwestern:15241
Quasi-Monte Carlo Methods for Stochastic Programming

Description:

In this thesis we discuss the issue of solving stochastic optimization problems using sampling methods. Numerical results have shown that using variance reduction techniques from statistics can result in significant improvements over Monte Carlo sampling in terms of the number of samples needed for convergence of the optimal objective value...

Keyword:

Stochastic Programming, Quasi-Monte Carlo, Padding, Latin Hypercube, Large Deviations, and QMC

Subject:

Industrial Engineering and Management Sciences

Creator:

Shane Sebastian Drew

Owner:

Scholarly Digital Publishing

Date Uploaded:

08/27/2018

Date Modified:

08/27/2018

Date Created:

2007-12-05

Resource Type:

Dissertation

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Risk-averse and Distributionally Robust Multistage Stochastic Optimization

Quasi-Monte Carlo Methods for Stochastic Programming

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