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Disciplined convex stochastic programming: A new framework for stochastic optimization
Convex stochastic programming modeling mathematics DCSP modeling
2015/8/7
We introduce disciplined convex stochastic programming (DCSP), a modeling framework that can significantly lower the barrier for modelers to specify and solve convex stochastic optimization problems, ...
Multiple response optimisation: Multiobjective stochastic programming methods
Multiple Response Surfaces multiobjective optimisation probabilistic optimisation stochastic programming matrix optimisation
2011/6/17
The multiresponse surface problem is modelled as one of multiobjective stochastic
optimisation, and diverse solutions are proposed. Several crucial differences are
highlighted between this approach ...
Convex duality in stochastic programming and mathematical finance
Convex duality stochastic programming mathematical finance
2010/10/20
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies ma...
Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Markov Processes Risk Analysis Stochastic Programming Scenarios
2010/10/29
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. I...