In this paper we study the problem of optimization over an integer efficient set of a Multiple Objective Integer Linear Stochastic Programming problem. Once the problem is converted into a deterministic one by adapting the <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$2$$</EquationSource> </InlineEquation>-levels recourse approach, a new pivoting technique is applied to...</equationsource></inlineequation>

This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and...

We consider optimization problems for minimizing conditional value-at-risk (CVaR) from a computational point of view, with an emphasis on financial applications. As a general solution approach, we suggest to reformulate these CVaR optimization problems as two-stage recourse problems of...

Infrastructure-planning models are challenging because of their combination of different time scales: while planning and building the infrastructure involves strategic decisions with time horizons of many years, one needs an operational time scale to get a proper picture of the...

The surge in demand for electricity in recent years requires that power companies expand generation capacity sufficiently. Yet, at the same time, energy demand is subject to seasonal variations and peak-hour factors that cause it to be extremely volatile and unpredictable, thereby complicating...

Due to deregulations of the energy sector and the setting of targets such as the 20/20/20 in the EU, operators of public buildings are now more exposed to instantaneous (short-term) market conditions. On the other hand, they have gained the opportunity to play a more active role in securing...