cutting planes algorithm

Numerical Methods for Convex Multistage Stochastic Optimization

  • Guanghui Lan
  • Alexander Shapiro
    • Categories Convex Optimization, Dynamic Programming, Stochastic Programming Tags , , , , , , ,

    Optimization problems involving sequential decisions in  a  stochastic environment    were studied  in  Stochastic Programming (SP), Stochastic Optimal Control  (SOC) and Markov Decision Processes (MDP). In this paper we mainly concentrate on SP and  SOC modelling   approaches. In these frameworks there are natural situations  when the considered problems are  convex. Classical approach to sequential optimization … Read more

    Algorithms for Cameras View-Frame Placement Problems in the Presence of an Adversary and Distributional Ambiguity

  • Seonghun Park
  • Manish Bansal
    • Categories Combinatorial Optimization, Game Theory, Stochastic Programming Tags , , ,

    In this paper, we introduce cameras view-frame placement problem (denoted by CFP) in the presence an adversary whose objective is to minimize the maximum coverage by p cameras in response to input provided by n autonomous agents in a remote location. We allow uncertainty in the success of attacks, incomplete information of the probability distribution … Read more