6 search results - page 1 / 2 » Aggregation and discretization in multistage stochastic prog... |
MP
2008
13 years 7 months ago
2008
Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen negative events. In order to en...
SIAMJO
2008
13 years 7 months ago
2008
We study the quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave...
CDC
2008
IEEE
14 years 2 months ago
2008
IEEE
— We consider a financial decision problem involving dynamic investment decisions on a single risky instrument over multiple and discrete time periods. Investment returns are as...
ANOR
2007
13 years 7 months ago
2007
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...
CCE
2004
13 years 7 months ago
2004
A large number of problems in production planning and scheduling, location, transportation, finance, and engineering design require that decisions be made in the presence of uncer...