Eduardo Moreno

The risk-averse ultimate pit problem

  • Gianpiero Canessa
  • Bernardo K. Pagnoncelli
  • Eduardo Moreno
    • Categories 0-1 Programming, Stochastic Programming

    In this work, we consider a risk-averse ultimate pit problem where the grade of the mineral is uncertain. We propose a two-stage formulation of the problem and discuss which properties are desirable for a risk measure in this context. We show that the only risk measure that satisfies these properties is the entropic. We propose … Read more

    Chance-constrained problems and rare events: an importance sampling approach

  • Javiera Barrera
  • Gianpiero Canessa
  • Tito Homem-de-Mello
  • Bernardo K. Pagnoncelli
  • Eduardo Moreno
    • Categories Stochastic Programming Tags , , ,

    We study chance-constrained problems in which the constraints involve the probability of a rare event. We discuss the relevance of such problems and show that the existing sampling-based algorithms cannot be applied directly in this case, since they require an impractical number of samples to yield reasonable solutions. Using a Sample Average Approximation (SAA) approach … Read more