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- Julia L. Higle, Suvrajeet Sen
- Math. Oper. Res.
- 1991

- Jason H Y Wu, Suvrajeet Sen
- Annals OR
- 2000

In this paper we use a stochastic programming approach to develop currency option hedging models which can address problems with multiple random factors in an imperfect market. The portfolios considered in our model are rebalanced at the end of each time period, and reinvestments are allowed during the hedging process. These sequential decisionsâ€¦ (More)

- Suvrajeet Sen, K. Larry Head
- Transportation Science
- 1997

- Suvrajeet Sen, Robert D. Doverspike, Steve Cosares
- Telecommunication Systems
- 1994

We study a planning problem associated with networks for private line services. In these networks, demands are known to exhibit considerable variability, and as such, they should be treated as random variables. The proposed planning model is a two-stage stochastic linear program (SLP) with recourse. Due to the enormous size of the deterministic equivalent,â€¦ (More)

- Guglielmo Lulli, Suvrajeet Sen
- Management Science
- 2004

- Julia L. Higle, Suvrajeet Sen
- Math. Program.
- 1996

We present alternative methods for verifying the quality of a proposed solution to a two stage stochastic program with recourse. Our methods revolve around implications of a dual problem in which dual multipliers on the nonanticipativity constraints play it critical role. Using randomly sampled observations of the stochastic elements, we introduce notionsâ€¦ (More)

- Suvrajeet Sen
- 2005

In this chapter, we will study algorithms for both two-stage as well as multi-stage stochastic mixed-integer programs. We present stagewise (resourcedirective) decomposition methods for two-stage models, and scenario (pricedirective) decomposition methods for multi-stage models. The manner in which these models are decomposed relies not only on the specificâ€¦ (More)

- Julia L. Higle, Suvrajeet Sen
- Annals OR
- 1999

- Michael S. Casey, Suvrajeet Sen
- Math. Oper. Res.
- 2005

A multistage stochastic linear program (MSLP) is a model of sequential stochastic optimization where the objective and constraints are linear. When any of the random variables used in the MSLP are continuous, the problem is infinite dimensional. In order to numerically tackle such a problem we usually replace it with a finite dimensional approximation. Evenâ€¦ (More)

- Suvrajeet Sen, Julia L. Higle
- Math. Program.
- 2005

This paper considers the two-stage stochastic integer programming problem, with an emphasis on instances in which integer variables appear in the second stage. Drawing heavily on the theory of disjunctive programming, we characterize convexifications of the second stage problem and develop a decompositionbased algorithm for the solution of such problems. Inâ€¦ (More)