### Recent Submissions

• #### Robust production management ﻿

2016
The problem of production management can often be cast in the form of a linear program with uncertain parameters and risk constraints. Typically, such problems are treated in the framework of multi-stage Stochastic ...
• #### Non-asymptotic confidence bounds for the optimal value of a stochastic program ﻿

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 ...
• #### Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures ﻿

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 ...
• #### Joint dynamic probabilistic constraints with projected linear decision rules ﻿

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 ﻿

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 ...
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