APPLICATION OF STATISTICAL CRITERIA TO OPTIMALITY TESTING IN STOCHASTIC PROGRAMMING

Optimality functions in stochastic programming

Optimality functions define stationarity in nonlinear programming, semi-infinite optimization, and optimal control in some sense. In this paper, we consider optimality functions for stochastic programs with nonlinear, possibly nonconvex, expected value objective and constraint functions. We show that an optimality function directly relates to the difference in function values at a candidate poi...

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

Optimality Of Monetary And Fiscal Policies In Iran: An Application Of The Stochastic Optimal Control Theory

Application of Stochastic Programming to Determine Operating Reserves with Considering Wind and Load Uncertainties

Wind power generation is variable and uncertain. In the power systems with high penetration of wind power, determination of equivalent operating reserve is the main concern of systems operator. In this paper, a model is proposed to determine operating reserves in simultaneous market clearing of energy and reserve by stochastic programming based on scenarios generated via Monte Carlo simulation ...

On the Choice of Optimality Criteria in Comparing Statistical Designs