Concept
Dominance stochastique
Publications associées (4)
"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?
Daniel Kuhn, Wolfram Wiesemann
Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adverse distribution in an ambiguity set. We investigate under which circumstances such deterministic de ...
2019Caching of Bivariate Gaussians with Non-Uniform Preference Probabilities
Michael Christoph Gastpar, Guillaume Jean Op 't Veld
Caching is technique that alleviates networks during peak hours by transmitting partial information before a request for any is made. We study this method in a lossy source coding setting with Gaussian databases. A good caching strategy minimizes the data ...
2017Scarcity Mitigation and Risk-Averse Clearing Model in the Swiss Reserve Market
This paper presents a real-world application of stochastic programming in the Swiss hydro-based system. The seasonal hydrological conditions may cause insufficient market volume to an extent that security criteria (i.e., the criteria determining of reserve ...
Ieee2016Benchmarking of hydroelectric stochastic risk management models using financial indicators
Matthias Finger, Pierre-André Haldi
The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stoc ...
2005