This work presents the convergence rate analysis of stochastic variants of the broad class of direct-search methods of directional type. It introduces an algorithm designed to optimize differentiable objective functions $f$ whose values can only be computed through a stochastically noisy blackbox. The proposed stochastic directional direct-search (SDDS) algorithm accepts new iterates by imposing a … Read more
In the context of multistage stochastic optimization, it is natural to consider nested risk measures, which originate by repeatedly composing risk measures, conditioned on realized observations. Starting from this discrete time setting, we extend the notion of nested risk measures to continuous time by adapting the risk levels in a time dependent manner. This time … Read more
This paper proposes a multi-stage stochastic programming formulation based on affine decision rules for the reservoir management problem. Our approach seeks to find a release schedule that balances flood control and power generation objectives while considering realistic operating conditions as well as variable water head. To deal with the non-convexity introduced by the variable water … Read more
This paper proposes a multi-stage stochastic programming formulation for the reservoir management problem. Our problem specifically consists in minimizing the risk of floods over a fixed time horizon for a multi-dimensional hydro-electrical complex. We consider well-studied linear time series model and enhance the approach to consider heteroscedasticity. Using these stochastic processes under very general distributional … Read more
The approximation of stochastic processes by trees is an important topic in multistage stochastic programming. In this paper we focus on improving the approximation of large trees by smaller (tractable) trees. The quality of the approximation is measured by the nested distance, recently introduced in [Pflug]. The nested distance is derived from the Wasserstein distance. … Read more