Stochastic Programming Bibliography

Stochastic Programming Bibliography

Maarten H. van der Vlerk
Department of Operations
University of Groningen
PO Box 800, NL-9700 AV Groningen, The Netherlands
E-mail:

October 8, 2007
One of the sources for this bibliography has been the list of Books on Stochastic Programming, compiled by J. Dupacová, which was first published in Wets and Ziemba [4033].

Please send additions (preferably in BibTeX format) or comments to the e-mail address mentioned above.

This bibliography can be cited as
Maarten H. van der Vlerk. Stochastic Programming Bibliography. World Wide Web, http://www.eco.rug.nl/mally/spbib.html, 1996-2007.
The BibTex entry I use is 
        @MISC{SPB9607,
          author = {Maarten H. {van der Vlerk}},
          title = {Stochastic Programming Bibliography},
          year = {1996-2007},
          howpublished = {World Wide Web, \url{http://www.eco.rug.nl/mally/spbib.html}}
        }
where the macro \url is defined in the LATEX style file url.sty.

Quick jumps:

[A] [B] [C] [D] [E] [F] [G] [H] [I] [J] [K] [L] [M] [N] [O] [P] [Q] [R] [S] [T] [U] [V] [W] [X] [Y] [Z]

References

  1. I.N. Kamal Abadi, Nicholas G. Hall, and Chelliah Sriskandarajah. Minimizing cycle time in a blocking flowshop. Oper. Res., 48(1):177-180, 2000.
  2. J. Abaffy and E. Allevi. A modified L-shaped method. J. Optim. Theory Appl., 123(2):255-270, 2004.
  3. Moncef Abbas and Fatima Bellahcene. Cutting plane method for multiple objective stochastic integer linear programming. European J. Oper. Res., 168(3):967-984, 2006.
  4. N. E. Abboud, M. Y. Jaber, and N. A. Noueihed. Economic lot sizing with the consideration of random machine unavailability time. Comput. Oper. Res., 27(4):335-351, 2000.
  5. P. Abel. Decisions in stochastic linear programming models under partial information. Z. Angew. Math. Mech. 73, No.7-8, T 737-T 738, 1993.
  6. Peter Abel. Stochastische Optimierung bei partieller Information, volume 96 of Mathematical Systems in Economics. Verlagsgruppe Athenäum/Hain/Hanstein, Königstein/Ts., 1984.
  7. Peter Abel. Stochastic linear programming with recourse under partial information. In Probability and Bayesian statistics (Innsbruck, 1986), pages 1-6. Plenum, New York, 1987.
  8. Peter Abel and Reiner Thiel. Mehrstufige stochastische Produktionsmodelle. Eine praxisorientierte Darstellung mit programmierten Beispielen. Schriften zur Quantitativen Wirtschaftsforschung, Bd. 5. Frankfurt am Main: Rita G. Fischer Verlag., 1981.
  9. Jinane Abounadi, Dimitri P. Bertsekas, and Vivek Borkar. Stochastic approximation for nonexpansive maps: application to Q-learning algorithms. SIAM J. Control Optim., 41(1):1-22 (electronic), 2002.
  10. L.M. Abramov and I.I. Bockareva. A stochastic programming problem with probabilistic constraints. Optimal. Planirovanie, 16:3-9, 1970.
  11. G.M. Adamenko. Solution of extremal problems under conditions of incomplete information. Automat. Control Comput. Sci., 14(4):48-55, 1980.
  12. M. Ju. Afanas'ev. An example of the cycling of a stochastic integer algorithm in a bilevel multicommodity problem. In Methods of function analysis in mathematical economics (Russian), pages 111-114. Izdat. "Nauka", Moscow, 1978.
  13. P. K. Agarwal, B. K. Bhattacharya, and S. Sen. Improved algorithms for uniform partitions of points. Algorithmica, 32(4):521-539, 2002.
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  16. G.A. Agranovich and L.N. Kanov. A method of computing the gradient and the Hessian of the quality criterion in parametric optimization of continuous-discrete stochastic systems. J. Math. Sci., 82(3):3412-3415, 1996. Dynamical systems, No. 13.
  17. S.C. Agrawal. On mixed integer quadratic programs. Naval Res. Logist. Quart., 21:289-297, 1974.
  18. Vipul Agrawal and Sridhar Seshadri. Distribution free bounds for service constrained (Q,r) inventory systems. Naval Res. Logist., 47(8):635-656, 2000.
  19. C.C. Agunwamba. Optimality condition: constraint regularization. Math. Programming, 13(1):38-48, 1977.
  20. Rudolf Ahlswede and Ingo Wegener. Search problems. (Zadachi poiska). Transl. from the German. Moskva: Mir., 1982.
  21. S. Ahmed and N. V. Sahinidis. Robust process planning under uncertainty. Industrial & Engineering Chemistry Research, 37(5):1883-1892, 1998.
  22. Shabbir Ahmed. Mean-risk objectives in stochastic programming. Stochastic Programming E-Print Series, http://www.speps.org, 2004.
  23. Shabbir Ahmed. Convexity and decomposition of mean-risk stochastic programs. Math. Program., 106(3, Ser. A):433-446, 2006.
  24. Shabbir Ahmed. Smooth minimization of two-stage stochastic linear programs. Optimization Online, http://www.optimization-online.org, 2006.
  25. Shabbir Ahmed, Ulas Cakmak, and Alexander Shapiro. Coherent risk measures in inventory problems. Stochastic Programming E-Print Series, http://www.speps.org, 2006.
  26. Shabbir Ahmed, Alan J. King, and Gyana Parija. A multi-stage stochastic integer programming approach for capacity expansion under uncertainty. Stochastic Programming E-Print Series, http://www.speps.org, 2001.
  27. Shabbir Ahmed, Alan J. King, and Gyana Parija. A multi-stage stochastic integer programming approach for capacity expansion under uncertainty. Optimization Online, http://www.optimization-online.org, 2001.
  28. Shabbir Ahmed and Alexander Shapiro. The sample average approximation method for stochastic programs with integer recourse. Optimization Online, http://www.optimization-online.org, 2002.
  29. Shabbir Ahmed, Mohit Tawarmalani, and Nikolaos V. Sahinidis. A finite branch-and-bound algorithm for two-stage stochastic integer programs. Math. Program., 100(2, Ser. A):355-377, 2004.
  30. Shabbir Ahmed, Mohit Tawarmalani, and Nikolas V. Sahinidis. A finite branch and bound algorithm for two-stage stochastic integer programs. Stochastic Programming E-Print Series, http://www.speps.org, 2000.
  31. Byong-Hun Ahn and Bo-Woo Nam. Multiperiod optimal power plant mix under demand uncertainty. J. Oper. Res. Soc. Jap. 31, No.3, 353-370, 1988.
  32. M. Aicardi, G. Casalino, F. Davoli, R. Minciardi, and R. Zoppoli. A decentralized closed-loop solution to the routing problem in networks. Annu. Rev. Autom. Program. 13, Part 2, 9-17, 1986.
  33. Z.Zh. Akhmetzhanova and G.M. Bakan. Solution of a programming problem with inexactly specified initial data. Sov. J. Autom. Inf. Sci. 21, No.2, 55-58 translation from Avtomatika 1988, No.2, 54-56 (1988)., 1988.
  34. Hisham Al-Mharmah and James M. Calvin. Optimal random non-adaptive algorithm for global optimization of Brownian motion. J. Global Optim., 8(1):81-90, 1996.
  35. Hisham A. Al-Mharmah and James M. Calvin. Comparison of one-dimensional composite and non-composite passive algorithms. J. Global Optim., 15(2):169-180, 1999.
  36. Aureli Alabert i Romero. On the optimization of hydroelectric power generation with random water inflows. Qüestiió, 15(3):307-348, 1991.
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  39. Maria Albareda-Sambola and Elena Fernández. The stochastic generalised assignment problem with Bernoulli demands. Top, 8(2):165-190, 2000.
  40. Maria Albareda-Sambola, Maarten H. van der Vlerk, and Elena Fernández. Exact solutions to a class of stochastic generalized assignment problems. European J. Oper. Res., 173(2):465-487, 2006.
  41. Ya. Alber. Dynamical processes of stochastic approximation. Funct. Differ. Equ., 4(3-4):239-256 (1998), 1997.
  42. Ya. I. Al'ber and S.V. Shil'man. Stochastic programming methods: convergence and nonasymptotic estimation of the convergence rate. In Stochastic optimization (Kiev, 1984), volume 81 of Lecture Notes in Control and Inform. Sci., pages 249-257. Springer, Berlin, 1986.
  43. Susanne Albers, Rolf H. Möhring, Georg Ch. Pflug, and Rüdiger Schultz. 05031 Summary - Algorithms for Optimization with Incomplete Information. In S. Albers, R.H. Möhring, G.Ch. Pflug, and R. Schultz, editors, Dagstuhl Seminar 05031: Algorithms for Optimization with Incomplete Information, http://www.dagstuhl.de/05031, 2005.
  44. V. Albornoz, J. Arrate, and L. Contesse. Solucion de modelos de dimensionamiento de lotes no capacitados bajo incertidumbre en las demandas. Revista del Instituto Chileno de Investigacion Operativa, 6(1-2):52-62, 2001.
  45. V. Albornoz and C. Canales. Planificacion de la conservacion y explotacion del langostino colorado usando un modelo de optimizacion estoc stica no-lineal con recurso. Informacion Tecnologica, 13(4):??, 2002.
  46. V. Albornoz and L. Contesse. Modelos de optimizacion robusta para un problema de planificacion agregada de la produccion bajo incertidumbre en las demandas. Investigacion Operativa, 7(3):1-16, 1999.
  47. A. Albrecht, S.K. Cheung, K.C. Hui, K.S. Leung, and C.K. Wong. Optimal placements of flexible objects. I. Analytical results for the unbounded case. IEEE Trans. Comput., 46(8):890-904, 1997.
  48. A. Albrecht, S.K. Cheung, K.C. Hui, K.S. Leung, and C.K. Wong. Optimal placements of flexible objects. II. A simulated annealing approach for the bounded case. IEEE Trans. Comput., 46(8):905-929, 1997.
  49. S.Christian Albright. A Markov-decision-chain approach to a stochastic assignment problem. Operations Res. 22, 61-64, 1974.
  50. Michael Albritton, Alexander Shapiro, and Mark Spearman. Finite capacity production planning with random demand and limited information. Stochastic Programming E-Print Series, http://www.speps.org, 2000.
  51. David Aldous. Minimization algorithms and random walk on the d-cube. Ann. Probab., 11(2):403-413, 1983.
  52. I.A. Aleksandrov, V.P. Bulatov, S.B. Ognivtsev, and F.I. Yereshko. Solution of a stochastic programming problem concerning the distribution of water resources. In Stochastic optimization (Kiev, 1984), volume 81 of Lecture Notes in Control and Inform. Sci., pages 258-264. Springer, Berlin, 1986.
  53. V.M. Aleksandrov, V.I. Sysoev, and V.V. Semeneva. Stochastische Optimierung von Systemen. Izv. Akad. Nauk SSSR, Tekh. Kibern. 1968, No. 5, 14-19, 1968.
  54. A. Alessandri and T. Parisini. Nonlinear modelling of complex large-scale plants using neural networks and stochastic approximation. IEEE Transactions on Systems, Man, and Cybernetics - A, 27:750-757, 1997.
  55. David L. J. Alexander, David Bulger, James M. Calvin, H. Edwin Romeijn, and Ryan L. Sherriff. Approximate implementations of pure random search in the presence of noise. J. Global Optim., 31(4):601-612, 2005.
  56. M. Montaz Ali, Charoenchai Khompatraporn, and Zelda B. Zabinsky. A numerical evaluation of several stochastic algorithms on selected continuous global optimization test problems. J. Global Optim., 31(4):635-672, 2005.
  57. M.M. Ali and C. Storey. Topographical multilevel single linkage. J. Global Optim., 5(4):349-358, 1994.
  58. M.M. Ali, A. Törn, and S. Viitanen. A numerical comparison of some modified controlled random search algorithms. J. Global Optim., 11(4):377-385, 1997.
  59. Montaz M. Ali. A probabilistic hybrid differential evolution algorithm. In Models and algorithms for global optimization, volume 4 of Springer Optim. Appl., pages 173-184. Springer, New York, 2007.
  60. F.M. Allen, R.N. Braswell, and P.V. Rao. Distribution-free approximations for chance constraints. Operations Res., 22(3):610-621, 1974.
  61. Sira Allende and Carlos Bouza. Stochastic programming approaches to the estimation of the mean in stratified population. Investigación Oper., 14(2-3):109-118, 1993. Workshop on Stochastic Optimization: the State of the Art (Havana, 1992).
  62. Sira Allende and Carlos Bouza. Random demands: optimum lot size and the newsboy problem. Investigación Oper., 23(3):124-129, 2002.
  63. A. Alonso-Ayuso, L. F. Escudero, C. Pizarro, H. E. Romeijn, and D. Romero Morales. On solving the multi-period single-sourcing problem under uncertainty. Comput. Manag. Sci., 3(1):29-53, 2006.
  64. Mahmoud H. Alrefaei. Stochastic optimization using the standard clock simulation. Int. J. Appl. Math., 8(3):317-333, 2002.
  65. Mahmoud H. Alrefaei and Ameen J. Alawneh. Solution quality of random search methods for discrete stochastic optimization. Math. Comput. Simulation, 68(2):115-125, 2005.
  66. Mahmoud H. Alrefaei and Mohammad Almomani. Subset selection of best simulated systems. J. Franklin Inst., 344(5):495-506, 2007.
  67. Mahmoud H. Alrefaei and Sigrún Andradóttir. A simulated annealing algorithm with constant temperature for discrete stochastic optimization. Management Science, 45:748-764, 1999.
  68. Mahmoud H. Alrefaei and Sigrún Andradóttir. A modification of the stochastic ruler method for discrete stochastic optimization. European J. Oper. Res., 133(1):160-182, 2001.
  69. Mahmoud H. Alrefaei and Sigrún Andradóttir. Discrete stochastic optimization using variants of the stochastic ruler method. Naval Res. Logist., 52(4):344-360, 2005.
  70. M.H. Alrefaei and S. Andradóttir. A new search algorithm for discrete stochastic optimization. Proceedings of the 1995 Winter Simulation Conference 236-241, 1995.
  71. M.H. Alrefaei and S. Andradóttir. Discrete stochastic optimization via a modification of the stochastic ruler method. Proceedings of the 1996 Winter Simulation Conference 406-411, 1996.
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  73. A. Altman, M. Amann, G. Klaassen, A. Ruszczy\'nski, and W. Schöpp. Cost-effective sulphur emission under uncertainty. European Journal of Operational Research, 90:395-412, 1996.
  74. Adel A. Aly and John A. White. Probabilistic formulations of the multifacility Weber problem. Naval Res. Logist. Quart., 25(3):531-547, 1978.
  75. Yakov Amihud. The effect of uncertainty in input quantities on the optimal expected input combination. Manage. Sci. 23, 957-962, 1977.
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  78. G. Anandalingam. A stochastic programming process model for investment planning. Comput. Oper. Res. 14, 521-536, 1987.
  79. Yu. G. Anastasyan, V.I. Gershovich, B.A. Yaroshevich, È. I. Nenakhov, O.T. Burlak, M.B. Shchepakin, and G.G. Murauskas. O nekotorykh algoritmakh negladkoi optimizatsii i diskretnogo programmirovaniya, volume 6 of Preprint 81. Akad. Nauk Ukrain. SSR Inst. Kibernet., Kiev, 1981.
  80. E. J. Anderson and A. B. Philpott. On supply function bidding in electricity markets. In C. Greengard and A. Ruszczy\'nski, editors, Decision Making under Uncertainty: Energy and Power, volume 128 of IMA volumes on Mathematics and its Applications, pages 115-134. Springer-Verlag, 2002.
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  130. Vadim I. Arkin. Stochastic optimization approach to dynamic problems with jump changing structure. In Stochastic programming methods and technical applications (Neubiberg/Munich, 1996), pages 104-110. Springer, Berlin, 1998.
  131. V.I. Arkin. Economic dynamics and discretely varying technology. Probabilistic approach. In Probability and mathematical economics, Moskva, 3-30, 1988.
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  133. V.I. Arkin, A. Shiraev, and R. Wets, editors. Stochastic Optimization. Proceedings of the International Conference, Kiev 1984. Springer, Berlin, 1986. LN in Control and Information Sciences 81.
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