Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

This paper is concerned with the determination of tight lower and upper bounds on the expectation of a convex function of a random variable. The classic bounds are those of Jensen and ...

We develop a sequential sampling procedure for a class of stochastic programs. We assume that a sequence of feasible solutions with an optimal limit point is given as input to our procedure. Such a ...

Professor Ruszczynski’s interests are in the theory, numerical methods and applications of stochastic optimization. He is author of "Nonlinear Optimization", "Lectures on Stochastic programming", and ...

Stochastic Sauna is a traditional workshop that brings together researchers and students working on probability, statistics, and their applications. The 2022 occasion will be held on 20th December ...

Crane, D. B. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management." Journal of Financial and Quantitative Analysis 6, no. 3 (June 1971).

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...