Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

This is a preview. Log in through your library . Abstract In this paper, we present a unified approach to study a class of cooperative games arising from inventory centralization. The optimization ...

Professor Ruszczynski’s interests are in the theory, numerical methods and applications of stochastic optimization. He is author of "Nonlinear Optimization", "Lectures on Stochastic programming", and ...

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 ...

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 ...

Stochastic programming methods can be applied to portfolio optimization in the context of pension fund management. In this paper we apply stochastic programming wherein the allocations are found among ...

Crane, D. B. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management." Journal of Financial and Quantitative Analysis 6, no. 3 (June 1971).

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