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We study sample approximations of chance constrained problems. In particular, we consider the sample average approximation (SAA) approach and discuss the convergence properties of the resulting problem. We discuss how one can use the SAA method to obtain good candidate solutions for chance constrained ( )Departamento de Matemática, Pontif́ıcia Universidade… (More)

We study approximations of chance constrained problems. In particular, we consider the Sample Average Approximation (SAA) approach and discuss convergence properties of the resulting problem. A method for constructing bounds for the optimal value of the considered problem is discussed and we suggest how one should tune the underlying parameters to obtain a… (More)

- Javiera Barrera, Tito Homem-de-Mello, Eduardo Moreno, Bernardo K. Pagnoncelli, Gianpiero Canessa
- Math. Program.
- 2016

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… (More)

- Tito Homem-de-Mello, Bernardo K. Pagnoncelli
- European Journal of Operational Research
- 2016

We discuss the incorporation of risk measures into multistage stochastic programs. While much attention has been recently devoted in the literature to this type of model, it appears that there is no consensus on the best way to accomplish that goal. In this paper, we discuss pros and cons of some of the existing approaches. A key notion that must be… (More)

- Bernardo K. Pagnoncelli, Daniel S Reich, Marco C. Campi
- J. Optimization Theory and Applications
- 2012

We study the exploitation of a one species forest plantation when timber price is uncertain. The work focuses on providing optimality conditions for the optimal harvesting policy in terms of the parameters of the price process and the discount factor. We use risk averse stochastic dynamic programming and use the Conditional Value-at-Risk (CVaR) as our main… (More)

- Adriana Piazza, Bernardo K. Pagnoncelli
- Annals OR
- 2014

In this paper we study the exploitation of a one species forest plantation when timber price is governed by a stochastic process. The work focuses on providing closed expressions for the optimal harvesting policy in terms of the parameters of the price process and the discount factor. We assume that harvest is restricted to mature trees older than a certain… (More)

- Bernardo K. Pagnoncelli, Carlos Tomei, HUMBERTO J. BORTOLOSSI
- 2008

The purpose of these notes is to present computational advances in the analysis of the hydrothermal scheduling problem studied in [2]. In the first part we briefly summarize the main results of the original paper, stating the main theorems without proofs. In the second part we present the computer program wxHSP, designed to obtain numerical solutions to the… (More)

- Bernardo K. Pagnoncelli, Rafael Lima de Carvalho, +7 authors FREDERICO BORGES PALMEIRA
- 2006

In this paper we study the dynamical formulation of the n-firm Cournot oligopoly model and variations. We consider both discrete and continuous cases and discuss its stability as well as its long-term behavior. As these resulting models are linear, we propose the use of techniques from linear algebra such as Shermann-Morrison’s formula and Sylvester’s Law… (More)