98 search results - page 5 / 20 » A Class of stochastic programs with decision dependent uncer... |
CPAIOR
2006
Springer
13 years 10 months ago
2006
Springer
Real-life management decisions are usually made in uncertain environments, and decision support systems that ignore this uncertainty are unlikely to provide realistic guidance. We ...
EOR
2008
13 years 6 months ago
2008
We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms...
CPAIOR
2008
Springer
13 years 8 months ago
2008
Springer
The one-step anticipatory algorithm (1s-AA) is an online algorithm making decisions under uncertainty by ignoring future non-anticipativity constraints. It makes near-optimal decis...
MP
2006
13 years 6 months ago
2006
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models - studied in mathematical finance for several decades -...
MP
2006
13 years 6 months ago
2006
This paper addresses a multi-stage stochastic integer programming formulation of the uncapacitated lot-sizing problem under uncertainty. We show that the classical ( , S) inequalit...