Delta-Hedging a Hydropower Plant Using Stochastic Programming (2008)
Fleten, Stein-Erik, Wallace, Stein W.
An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inflow and electricity prices. Furthermore, the producers want to hedge the...
Delta-Hedging a Hydropower Plant Using Stochastic Programming (2008)
Fleten, Stein-Erik, Wallace, Stein W.
An important challenge for hydropower producers is to optimize reservoir discharges, which is subject to uncertainty in inflow and electricity prices. Furthermore, the producers want to hedge the...
Shape-based Scenario Generation using Copulas (2006)
Kaut, Michal, Wallace, Stein W.
The purpose of this article is to show how the multivariate structure (the ”shape” of the distribution) can be separated from the marginal distributions when generating scenarios. To do this we...
Shape-based Scenario Generation using Copulas (2006)
Kaut, Michal, Wallace, Stein W.
The purpose of this article is to show how the multivariate structure (the ”shape” of the distribution) can be separated from the marginal distributions when generating scenarios. To do this we...
Evaluation of scenario-generation methods for stochastic programming (2003)
Kaut, Michal, Wallace, Stein W.
In this paper, we discuss the evaluation of quality/suitability of scenario-generation methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a...
Evaluation of scenario-generation methods for stochastic programming (2003)
Kaut, Michal, Wallace, Stein W.
In this paper, we discuss the evaluation of quality/suitability of scenario-generation methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a...
Evaluation of Scenario-Generation Methods for Stochastic Programming (2003)
In this paper, we discuss the evaluation of quality/suitability of scenario-generation methods for a given stochastic programming model. We formulate minimal requirements that should be imposed on a...
Stability Analysis of a Portfolio Management Model (2003)
Michal Kaut, Stein W. Wallace, Hercules Vladimirou, Stavros A. Zenios
We examine the stability of a portfolio management model based on the conditional valueat -risk (CVaR) measure. The stochastic programming model controls total risk exposure of an international...
A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs. (2002)
Birge,John R., Wallace,Stein W.
Stochastic linear programs require the evaluation of an integral in which the integrand is itself the value of a linear program. This integration is often approximated by discrete distributions that...
Market Mechanisms and Stochastic Programming (2001)
Kjetil K. Haugen, Stein W. Wallace
There are two types of random phenomena modelled in stochastic programs. One type is what we may term "external" or "natural" random variables, such as temperature or the roll of a dice. But in many...
A Heuristic for Generating Scenario Trees for Multistage Decision Problems (2001)
Kjetil Hyland, Michal Kaut, Stein W. Wallace
In stochastic programming models we always face the problem of how to represent the random variables. This is particularly difficult with multidimensional distributions. We present an algorithm that...
A heuristic for generating scenario trees for multistage decision problems (2001)
Høyland, Kjetil, Kaut, Michal, Wallace, Stein W.
In stochastic programming models we always face the problem of how to represent the random variables. This is particularly difficult with multidimensional distributions. We present an algorithm that...
A heuristic for generating scenario trees for multistage decision problems (2001)
Høyland, Kjetil, Kaut, Michal, Wallace, Stein W.
In stochastic programming models we always face the problem of how to represent the random variables. This is particularly difficult with multidimensional distributions. We present an algorithm that...
The performance of stochastic dynamic and fixed mix portfolio models (2000)
Fleten, Stein-Erik, Høyland, Kjetil, Wallace, Stein W.
The purpose of this paper is to demonstrate how to evaluate stochastic programming models, and more specifically to compare two different approaches to asset liability management. The first uses...
The performance of stochastic dynamic and fixed mix portfolio models (2000)
Fleten, Stein-Erik, Høyland, Kjetil, Wallace, Stein W.
The purpose of this paper is to demonstrate how to evaluate stochastic programming models, and more specifically to compare two different approaches to asset liability management. The first uses...
Hedging electricity portfolios via stochastic programming (1999)
Fleten, Stein-Erik, Wallace, Stein W., Ziemba, William T.
Electricity producers participating in the Nordic wholesale-level market face significant uncertainty in inflow to reservoirs and prices in the spot and contract markets. Taking the view of a single...
Hedging electricity portfolios via stochastic programming (1999)
Fleten, Stein-Erik, Wallace, Stein W., Ziemba, William T.
Electricity producers participating in the Nordic wholesale-level market face significant uncertainty in inflow to reservoirs and prices in the spot and contract markets. Taking the view of a single...
Asgeir Tomasgard, Shane Dye, Stein W. Wallace, Leen Stougie
The purpose of this paper is to formally describe new optimization models for distributed telecommunication networks. Modern distributed networks put more focus on the processing of information and...
Asgeir Tomasgard, Shane Dye, Stein W. Wallace, Jan A. Audestad, Leen Stougie
The purpose of this paper is to formally describe new optimization models for distributed telecommunication networks. Modern distributed networks put more focus on the processing of information and...
New Aspects of Service Provision and Technology Strategies in Telecommunications (1998)
Shane Dye, Asgeir Tomasgard, Stein W. Wallace
Because of deregulation and new technology the telecommunications markets are changing. As the computer industry and the telecommunications industry become more similar, services based on processing...
Basis Characterization in a Multicommodity Network (1998)
Nina K. Detlefsen, Stein W. Wallace
We consider multicommodity network flow problems, where external flow is allowed to vary, and where flows in arcs of individual commodities may be constrained. Most other formulations of...
Basis Characterization in a Multicommodity Network (1998)
Nina K. Detlefsen, Stein W. Wallace
We consider multicommodity network flow problems, where external flow is allowed to vary, and where flows in arcs of individual commodities may be constrained. Most other formulations of...
Power Scheduling with Forward Contracts (1998)
Stein-erik Fleten, Stein W. Wallace
Electricity producers participating in the Nordic wholesale-level market face significant uncertainty in inflow to reservoirs and prices on the spot and contract markets. Taking the view of a single...
Decision making under uncertainty: Is sensitivity analysis of any use? (1998)
Sensitivity analysis, combined with parametric optimization, is often presented as a way of checking if the solution of a deterministic linear program is reliable even if some of the parameters are...
Modelling in Distributed Telecommunications Networks (1998)
Asgeir Tomasgard, Shane Dye, Stein W. Wallace, Jan A. Audestad, Leen Stougie
infrastructure The engineering model [17] from TINA-C is used to describe any distributed system as a set of engineering objects interacting through an abstract infrastructure, the Distributed...
Basis Characterization in a Two-Commodity Network (1998)
Nina K. Detlefsen, Stein W. Wallace
In this paper we describe the structure of a basis for two-commodity network flow problems combinatorially. In other words we give an interpretation of the structure of a basis. We also give an...
Work Patterns in Project Scheduling (1998)
Asa Hallefjord, Stein W. Wallace
this paper, we discuss modelling aspects of introducing work patterns.
Option Theory and Modeling under Uncertainty (1998)
Daniel S. Christiansen, Stein W. Wallace
this paper is to show the usefulness of option theory in dealing with issues raised in modeling under uncertainty and to make a case for teaching option theory in connection with courses on...
Feasibility in Transportation Networks with Supply Eating Arcs (1998)
Shane Dye, Asgeir Tomasgard, Stein W. Wallace
In this paper we consider a new type of mixed integer programming problem: Transportation Network with Supply Eating Arcs. This problem arises from an application in intelligent [telecommunications]...
Portfolio Management in a Deregulated Hydropower Based Electricity Market (1998)
Stein-erik Fleten, Stein W. Wallace, William T. Ziemba
We present an "asset/liability" model for a hydropower producer operating in a deregulated electricity market. The focus in this modeling effort is on the coordination of physical generation...
Modelling Aspects of Distributed Processing in Telecommunication Networks (1998)
Asgeir Tomasgard, Jan A. Audestad, Shane Dye, Leen Stougie, Stein W. Wallace
infrastructure The engineering model [17] from TINA-C is used to describe any distributed system as a set of objects interacting through an abstract infrastructure, the Distributed Processing...
Stochastic Optimization Models for Distributed Communications Networks (1998)
Asgeir Tomasgard, Shane Dye, Stein W. Wallace, Jan A. Audestad
The purpose of this paper is to formally describe new optimization models for distributed telecommunication networks. Modern distributed networks put more focus on the processing of information and...
Basis Characterization in a Two-Commodity Network (1998)
Nina K. Detlefsen, Stein W. Wallace
In this paper we describe the structure of a basis for two-commodity network flow problems combinatorially. In other words we give an interpretation of the structure of a basis. We also give an...
Birge, John R., Wallace, Stein W.
A linear stochastic program where the right-hand side elements are linear transformations of independent stochastic variables is considered. We show how bounds on the recouse (second-stage) problem...
Stability analysis of portfolio management with conditional value-at-risk
Michal Kaut, Hercules Vladimirou, Stein W. Wallace, Stavros A. Zenios
We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure; the model controls risk exposure of international investment portfolios. We use a...
Modelling in Distributed Telecommunications Networks
Asgeir Tomasgard, Shane Dye, Stein W. Wallace, Jan A. Audestad
The purpose of this paper is to formally describe new optimization models for distributed telecommunication networks. Modern distributed networks put more focus on the processing of information and...
Stochastic programming in energy
Stein W. Wallace, Stein-Erik Fleten
We give the reader a tour of good energy optimization models that explicitly deal with uncertainty. The uncertainty usually stems from unpredictability of demand and/or prices of energy, or from...
Dalton transfers, inequality and altruism
Dominique Thon, Stein W. Wallace
This paper characterizes the set of income allocations attainable through a sequence of equalizing decentralized pair-wise transfers that each preserve the original ranking of the donor and the...
CORRELATIONS IN STOCHASTIC PROGRAMMING: A CASE FROM STOCHASTIC SERVICE NETWORK DESIGN
ARNT-GUNNAR LIUM, TEODOR GABRIEL CRAINIC, STEIN W. WALLACE
Deterministic models, even if used repeatedly, will not capture the essence of planning in an uncertain world. Flexibility and robustness can only be properly valued in models that use stochastics...