We propose an alternative approach to stochastic programming based on Monte-Carlo sampling and stochastic gradient optimization. The procedure is by essence probabilistic and the computed solution is a random variable.

Data envelopment analysis (DEA) is a powerful tool for measuring the relative efficiencies of a set of decision making units (DMUs) such as schools and bank branches that transform multiple inputs to multiple outputs. In centralized decision-making systems, management normally imposes common...

This paper proposes a real option capacity expansion model for power generation with several technologies that differ in operation and investment costs. The economy is assumed perfectly competitive and the instantaneous payoff accruing from the generation system is the instantaneous welfare...

We investigate how to solve several classical network flow problems using secure multi-party computation. We consider the shortest path problem, the Minimum Mean Cycle problem and the Minimum Cost Flow problem. To the best of our knowledge, this is the first time the two last problems have been...

We present a convex conic relaxation for a problem of maximising an indefinite quadratic form over a set of convex constraints on the squared variables. We show that for all these problems we get at least 12/37 relative accuracy of the approximation. In the second part of the paper we derive the...

We consider semidefinite programs, where all the matrices defining the problem commute. We show that in this case the semidefinite program can be solved through an ordinary linear program. As an application, we consider the max-cut problem, where the underlying graph arises from an association...

We consider the problem of scheduling unrelated parallel machines subject to release dates so as to minimize the total weighted completion time of jobs. The main contribution of this paper is a probably good convex quadratic programming relaxation of strongly polynomial size of this problem.

The Ramsey model of economic growth is revisited from the point of view of viability. A viable state is a state from which there exists at least one tra jectory that remains in the set of constraints of minimal consumption and positive wealth. Viability is presented with a constraint of minimal...