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Bound-based decision rules in multistage stochastic programming

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An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time

Daniel Kuhn

Dynamic stochastic optimization problems with a large (possibly infinite) number of decision stages and high-dimensional state vectors are inherently difficult to solve. In fact, scenario tree-based algorithms are unsuitable for problems with many stages, ...

2009

Convergent Bounds for Stochastic Programs with Expected Value Constraints

Daniel Kuhn

This article describes a bounding approximation scheme for convex multistage stochastic programs (MSP) that constrain the conditional expectation of some decision-dependent random variables. Expected value constraints of this type are useful for modelling ...

2009

Essays on individual decision making under uncertainty

Elise Le Nestour

This research project is an experimental study of decision-making in very difficult contexts resembling those encountered in financial markets. The starting point was the empirical observation that financial assets are objects of a very complex kind. Speci ...

EPFL2009

Aggregation and discretization in multistage stochastic programming

Daniel Kuhn

Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen negative events. In order to ensure computational tractability, continuous-state stochastic programs are us ...

2008

Modèle de prévision et de gestion des crues

Frédéric Jordan

Floods are not only due to fatality. It is the responsibility of the human being to protect himself from heavy damages due to natural elements, and he sometimes has the chance to profit from a given situation to influence events. One of these possibilities ...

EPFL2007

Reliability of computational science

Fabio Nobile

Today's computers allow us to simulate large, complex physical problems. Many times the mathematical models describing such problems are based on a relatively small amount of available information such as experimental measurements. The question arises whet ...

Wiley-Blackwell2007

Decision-aid methodology for the school bus routing and scheduling problem

Michel Bierlaire, Thomas Liebling

We consider the school bus routing and scheduling problem, where transportation demand is known and bus scheduling can be planned in advance. We present a comprehensive methodology designed to support the decision of practitioners. We first propose a model ...

2005

Uniform consensus is harder than consensus

André Schiper

We compare the consensus and uniform consensus problems in synchronous systems. In contrast to consensus, uniform consensus is not solvable with byzantine failures. This still holds for the omission failure model if a majority of processes may be faulty. F ...

2004

User needs analysis and development of priorities for life cycle impact assessment

The development of the LCIA programme of the UNEP/SETAC Life Cycle Initiative started with a global survey of LCA practitioners. There were 91 LCIA-specific responses from all global regions. Respondents gave an indication of how they use LCA with respect ...

2004

User needs analysis and development of priorities for life cycle impact assessment

Springer, Ecomed2004