This is a preview. Log in through your library . Abstract In probabilistic linear programming models the decision maker is typically assumed to know the probability distribution of the random ...

Some important conceptual problems concerning the application of chance constrained programming (CCP) to risky practical decision problems are discussed by comparing CCP to stochastic programming with ...

We propose dual decomposition and solution schemes for multistage CVaRconstrained problems. These schemes meet the need for handling multiple CVaR constraints for different time frames and at ...

Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...