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Risk-averse feasible policies for large-scale multistage stochastic linear programs
(Springer Heidelberg, 2013-04)
We consider risk-averse formulations of stochastic linear programs having a structure that is common in real-life applications. Specifically, the optimization problem corresponds to controlling over a certain horizon a ...
Dual Dynamic Programing with cut selection: convergence proof and numerical experiments
(Elsevier Science Bv, 2017-04-01)
We consider convex optimization problems formulated using dynamic programing equations. Such problems can be solved using the Dual Dynamic Programing algorithm combined with the Level 1 cut selection strategy or the Territory ...
Executive programs for Brazilian mid-career public managers: Pitfalls and challenges
(SAGE Publications Inc., 2017)
This paper discusses the challenges of professional education for mid-career public managers at graduate level, pointing out pitfalls to avoid and obstacles to face. Analyzing the Brazilian case, the goal is to raise issues ...
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
(Springer, 2014-01)
We consider interstage dependent stochastic linear programs where both the random right-hand side and the model of the underlying stochastic process have a special structure. Namely, for equality constraints (resp. inequality ...
Non-asymptotic confidence bounds for the optimal value of a stochastic program
(EMAp - Escola de Matemática Aplicada, 2016)
We discuss a general approach to building non-asymptotic confidence bounds for stochastic optimization problems. Our principal contribution is the observation that a Sample Average Approximation of a problem supplies upper ...
Joint dynamic probabilistic constraints with projected linear decision rules
(EMAp - Escola de Matemática Aplicada, 2016)
We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see ...
Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
(EMAp - Escola de Matemática Aplicada, 2016)
We consider a class of sampling-based decomposition methods to solve risk-averse multistage stochastic convex programs. We prove a formula for the computation of the cuts necessary to build the outer linearizations of the ...
Avaliação de programas públicos por meio da análise estruturada dos relatórios de auditoria da Controladoria Geral da União
(FGV EAESP - Centro de Estudos em Administração Pública e Governo, 2011-07-01)
Several social programs in Brazil are still in early stages of implementation and are operated in social reality rather complex and diverse in terms of management capacity. In this context, evaluations focused on the ...
Robust management and pricing of liquefied natural gas contracts with cancelation options
(Springer New York LLC, 2014)
Liquefied Natural Gas contracts offer cancelation options that make their pricing difficult, especially if many gas storages need to be taken into account. We develop a valuation mechanism from the buyer's perspective, a ...
Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
(EMAp - Escola de Matemática Aplicada, 2016)
We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable con dence intervals on the optimal value of such stochastic programs using the Robust Stochastic ...