TY - GEN A1 - Steinbach, Marc T1 - General Information Constraints in Stochastic Programs N2 - Scenario tree models of stochastic programs arise naturally under standard nonanticipativity assumptions. We demonstrate how tree-sparse programs cover the general case, with \emph{arbitrary} information constraints. Detailed examples and intuitive interpretations illuminate the basic thoughts behind the abstract but elementary construction. T3 - ZIB-Report - 01-24 KW - information constraints KW - general nonanticipativity KW - sigma-fields KW - filtrations KW - scenarios KW - stochastic programs KW - tree-sparse programs Y1 - 2001 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-6502 ER - TY - GEN A1 - Garrido, Izaskun A1 - Steinbach, Marc T1 - A Multistage Stochastic Programming Approach in Real-Time Process Control N2 - Standard model predictive control for real-time operation of industrial production processes may be inefficient in the presence of substantial uncertainties. To avoid overly conservative disturbance corrections while ensuring safe operation, random influences should be taken into account explicitly. We propose a multistage stochastic programming approach within the model predictive control framework and apply it to a distillation process with a feed tank buffering external sources. A preliminary comparison to a probabilistic constraints approach is given and first computational results for the distillation process are presented. T3 - ZIB-Report - 01-05 KW - Process Control KW - Real-Time Optimization KW - Multistage Stochastic Programming Y1 - 2001 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-6317 ER - TY - GEN A1 - Steinbach, Marc T1 - Tree-Sparse Convex Programs N2 - Dynamic stochastic programs are prototypical for optimization problems with an inherent tree structure inducing characteristic sparsity patterns in the KKT systems of interior methods. We propose an integrated modeling and solution approach for such tree-sparse programs. Three closely related natural formulations are theoretically analyzed from a control-theoretic viewpoint and compared to each other. Associated KKT solution algorithms with linear complexity are developed and comparisons to other interior approaches and related problem formulations are discussed. T3 - ZIB-Report - 01-08 KW - Convex program KW - tree KW - discrete-time optimal control multistage stochastic program KW - recursive factorization KW - local projection Y1 - 2001 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-6340 ER - TY - GEN A1 - Henrion, Rene A1 - Li, Pu A1 - Möller, Andris A1 - Steinbach, Marc A1 - Wendt, Moritz A1 - Wozny, Günter T1 - Stochastic Optimization for Operating Chemical Processes Under Uncertainty N2 - Mathematical optimization techniques are on their way to becoming a standard tool in chemical process engineering. While such approaches are usually based on deterministic models, uncertainties such as external disturbances play a significant role in many real-life applications. The present article gives an introduction to practical issues of process operation and to basic mathematical concepts required for the explicit treatment of uncertainties by stochastic optimization. T3 - ZIB-Report - 01-04 KW - Uncertainty KW - Chemical Processes KW - Multistage Stochastic Programs KW - Probabilistic Constraints Y1 - 2001 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-6304 ER -