Selected Papers

Applications and algorithms in Stochastic Programming.

• MSLiP: A computer code for the multistage stochastic linear programming problem
• Decomposition methods in stochastic linear programming: Dual variables
• Interior point methods in stochastic linear programming: Reducing fill-in
• Solving linear programs with multiple right-hand sides: Pricing and ordering schemes
• Optimal harvest of a forest in the presence of uncertainty

Problem descriptions and model management.

• A standard input format for multiperiod stochastic linear programs
• Proposed extensions to the SMPS input format for stochastic linear programs
• Scenario formulation in an algebraic modelling language
• On the formulation of stochastic linear programs using algebraic modelling languages
• On stages and consistency in stochastic programming
• The SMPS format explained (Sample SMPS files)
• Modelling history-dependent parameters in the SMPS format for stochastic programming

MSLiP (Nested Benders decomposition code for stochastic LPs)

• MSLiP 8.3 User's Guide
• A set of utility routines for working with the SMPS format
• The SMPS format for stochastic linear programs (on-line reference)
• MSLiP 9.0

Other research.

• A method of delta-support functionals for quasi-convex optimization
• Computing Multivariate Normal Probabilities: A New Look
• Rectangle probabilities of trivariate normal distributions
• Multivariate normal probabilities: Implementing an old idea of Plackett’s