Georg Ch. Pflug

Publication Activity (10 Years)

Years Active: 1984-2023
Publications (10 Years): 16

Top Topics

Stochastic Optimization

Constrained Problems

Top Venues

Eur. J. Oper. Res.

Comput. Manag. Sci.

Ann. Oper. Res.

Publications

Georg Ch. Pflug
Multistage stochastic decision problems: Approximation by recursive structures and ambiguity modeling. Eur. J. Oper. Res. 306 (3) (2023)
Immanuel M. Bomze, Markus Gabl, Francesca Maggioni, Georg Ch. Pflug
Two-stage stochastic standard quadratic optimization. Eur. J. Oper. Res. 299 (1) (2022)
Wim van Ackooij, Debora Daniela Escobar, Martin Glanzer, Georg Ch. Pflug
Correction to: Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Comput. Manag. Sci. 17 (3) (2020)
Sebastian Maier, Georg Ch. Pflug, John W. Polak
Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. Eur. J. Oper. Res. 285 (1) (2020)
Debora Daniela Escobar, Georg Ch. Pflug
The distortion principle for insurance pricing: properties, identification and robustness. Ann. Oper. Res. 292 (2) (2020)
Martin Glanzer, Georg Ch. Pflug
Multiscale stochastic optimization: modeling aspects and scenario generation. Comput. Optim. Appl. 75 (1) (2020)
Wim van Ackooij, Debora Daniela Escobar, Martin Glanzer, Georg Ch. Pflug
Distributionally robust optimization with multiple time scales: valuation of a thermal power plant. Comput. Manag. Sci. 17 (3) (2020)
Caroline Geiersbach, Georg Ch. Pflug
Projected Stochastic Gradients for Convex Constrained Problems in Hilbert Spaces. SIAM J. Optim. 29 (3) (2019)
Martin Glanzer, Georg Ch. Pflug, Alois Pichler
Incorporating statistical model error into the calculation of acceptability prices of contingent claims. Math. Program. 174 (1-2) (2019)
Francesca Maggioni, Georg Ch. Pflug
Guaranteed Bounds for General Nondiscrete Multistage Risk-Averse Stochastic Optimization Programs. SIAM J. Optim. 29 (1) (2019)
Georg Ch. Pflug, Alois Pichler
Systemic risk and copula models. Central Eur. J. Oper. Res. 26 (2) (2018)
Georg Ch. Pflug, Alois Pichler
Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals. Math. Oper. Res. 41 (2) (2016)
Francesca Maggioni, Georg Ch. Pflug
Bounds and Approximations for Multistage Stochastic Programs. SIAM J. Optim. 26 (1) (2016)
Georg Ch. Pflug, Alois Pichler
From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties. SIAM J. Optim. 26 (3) (2016)
Georg Ch. Pflug, Alois Pichler
Time-inconsistent multistage stochastic programs: Martingale bounds. Eur. J. Oper. Res. 249 (1) (2016)
Dmitri V. Boreiko, Yuri M. Kaniovski, Georg Ch. Pflug
Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence. Central Eur. J. Oper. Res. 24 (4) (2016)
Dmitri V. Boreiko, Yuri M. Kaniovski, Georg Ch. Pflug
Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices. OR (2015)
Georg Ch. Pflug, Alois Pichler
Dynamic generation of scenario trees. Comput. Optim. Appl. 62 (3) (2015)
Yousaf Shad Muhammad, Georg Ch. Pflug
Stochastic vs deterministic programming in water management: the value of flexibility. Ann. Oper. Res. 223 (1) (2014)
Bita Analui, Georg Ch. Pflug
On distributionally robust multiperiod stochastic optimization. Comput. Manag. Sci. 11 (3) (2014)
Raimund M. Kovacevic, Georg Ch. Pflug
Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches. Eur. J. Oper. Res. 237 (2) (2014)
Stefan Hochrainer, Ronald Hochreiter, Georg Ch. Pflug
An algorithm for calculating steady state probabilities of $M|E_r|c|K$ queueing systems. CoRR (2014)
Georg Ch. Pflug, Alois Pichler
A Distance For Multistage Stochastic Optimization Models. SIAM J. Optim. 22 (1) (2012)
Georg Ch. Pflug, Ronald Hochreiter
Applied mathematical programming and modelling 2008. Ann. Oper. Res. 193 (1) (2012)
Bernd Heidergott, Felisa J. Vázquez-Abad, Georg Ch. Pflug, Taoying Farenhorst-Yuan
Gradient estimation for discrete-event systems by measure-valued differentiation. ACM Trans. Model. Comput. Simul. 20 (1) (2010)
Sona Kilianová, Georg Ch. Pflug
Optimal pension fund management under multi-period risk minimization. Ann. Oper. Res. 166 (1) (2009)
Marida Bertocchi, Georg Ch. Pflug, Hercules Vladimirou
Preface. Ann. Oper. Res. 165 (1) (2009)
Ronald Hochreiter, Georg Ch. Pflug
Introduction to the special issue on computational optimization under uncertainty. Comput. Manag. Sci. 6 (2) (2009)
Georg Ch. Pflug, Nikola Broussev
Electricity swing options: Behavioral models and pricing. Eur. J. Oper. Res. 197 (3) (2009)
Georg Ch. Pflug
Version-Independence and Nested Distributions in Multistage Stochastic Optimization. SIAM J. Optim. 20 (3) (2009)
Hannes Schabauer, Ronald Hochreiter, Georg Ch. Pflug
Parallelization of Pricing Path-Dependent Financial Instruments on Bounded Trinomial Lattices. ICCS (2) (2008)
Radoslava Mirkov, Georg Ch. Pflug
Tree Approximations of Dynamic Stochastic Programs. SIAM J. Optim. 18 (3) (2007)
Ronald Hochreiter, Georg Ch. Pflug
Financial scenario generation for stochastic multi-stage decision processes as facility location problems. Ann. Oper. Res. 152 (1) (2007)
Georg Ch. Pflug
Subdifferential representations of risk measures. Math. Program. 108 (2-3) (2006)
Georg Ch. Pflug, Heinz Weisshaupt
Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design. SIAM J. Optim. 15 (3) (2005)
Ronald Hochreiter, Georg Ch. Pflug, David Wozabal
Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets. System Modelling and Optimization (2005)
Georg Ch. Pflug, Andrzej Ruszczynski
Measuring Risk for Income Streams. Comput. Optim. Appl. 32 (1-2) (2005)
Susanne Albers, Rolf H. Möhring, Georg Ch. Pflug, Rüdiger Schultz
05031 Summary-- Algorithms for Optimization with Incomplete Information. Algorithms for Optimization with Incomplete Information (2005)
Susanne Albers, Rolf H. Möhring, Georg Ch. Pflug, Rüdiger Schultz
05031 Abstracts Collection - Algorithms for Optimization with Incomplete Information. Algorithms for Optimization with Incomplete Information (2005)
Hans Moritsch, Georg Ch. Pflug
Using a Distributed Active Tree in Java for the Parallel and Distributed Implementation of a Nested Optimization Algorithm. ICPP Workshops (2003)
Georg Ch. Pflug, Ladislav Halada
A Note on the Recursive and Parallel Structure of the Birge and Qi Factorization for Tree Structured Linear Programs. Comput. Optim. Appl. 24 (2-3) (2003)
Georg Ch. Pflug, Ladislav Halada
Birge and Qi Method for Three-Stage Stochastic Programs Using IPM. International Conference on Computational Science (1) (2002)
Georg Ch. Pflug
Scenario tree generation for multiperiod financial optimization by optimal discretization. Math. Program. 89 (2) (2001)
Georg Ch. Pflug, Artur Swietanowski, Engelbert J. Dockner, Hans Moritsch
The AURORA Financial Management System: Model and Parallel Implementation Design. Ann. Oper. Res. 99 (1-4) (2000)
Georg Ch. Pflug, Artur Swietanowski
Selected parallel optimization methods for financial management under uncertainty. Parallel Comput. 26 (1) (2000)
Walter J. Gutjahr, A. Hellmayr, Georg Ch. Pflug
Optimal stochastic single-machine-tardiness scheduling by stochastic branch-and-bound. Eur. J. Oper. Res. 117 (2) (1999)
Georg Ch. Pflug
Stochastic programs and statistical data. Ann. Oper. Res. 85 (1999)
Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz
On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse. Math. Methods Oper. Res. 47 (1) (1998)
Vladimir I. Norkin, Georg Ch. Pflug, Andrzej Ruszczynski
A branch and bound method for stochastic global optimization. Math. Program. 83 (1998)
Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz
On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions. Math. Oper. Res. 23 (1) (1998)
Walter J. Gutjahr, Georg Ch. Pflug
Simulated Annealing for noisy cost functions. J. Glob. Optim. 8 (1) (1996)
Georg Ch. Pflug
Random Planar Shapes and Their Statistical Recognition. Ann. Math. Artif. Intell. 13 (3-4) (1995)
Georg Ch. Pflug
Asymptotic Stochastic Programs. Math. Oper. Res. 20 (4) (1995)
Walter J. Gutjahr, Georg Ch. Pflug
The limiting common distribution of two leaf heights in a random brinary tree. RAIRO Theor. Informatics Appl. 26 (1992)
Walter J. Gutjahr, Georg Ch. Pflug
The asymptotic distribution of leaf heights in binary trees. Graphs Comb. 8 (3) (1992)
Georg Ch. Pflug
Gradient estimates for the performance of markov chains and discrete event processes. Ann. Oper. Res. 39 (1) (1992)
Georg Ch. Pflug, Michael Prohaska
The entity - connection approach to modelling and simulation. Simul. 55 (4) (1990)
Georg Ch. Pflug
On-Line Optimization of Simulated Markovian Processes. Math. Oper. Res. 15 (3) (1990)
Georg Ch. Pflug
Sampling derivatives of probabilities. Computing 42 (4) (1989)
Georg Ch. Pflug, Michael Prohaska
Computeranimation für diskrete Ereignissimulation. Austrographics (1988)
Georg Ch. Pflug, Hans W. Kessler
Linear probing with a nonuniform address distribution. J. ACM 34 (2) (1987)
Georg Ch. Pflug
Memory Conflicts in MIMD-Computers - A Performance Analysis. CONPAR (1986)
Georg Ch. Pflug
Dynamic Memory Allocation - A Markovian Analysis. Comput. J. 27 (4) (1984)