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    » On Stability of Multistage Stochastic Programs
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    ORL
    2007
    96views more  ORL 2007»
    A note on scenario reduction for two-stage stochastic programs
    13 years 7 months ago
    A note on scenario reduction for two-stage stochastic programs
    Download  www.math.hu-berlin.de
    We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The impo...
    Holger Heitsch, Werner Römisch
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    COR
    2007
    106views more  COR 2007»
    On a stochastic sequencing and scheduling problem
    13 years 7 months ago
    On a stochastic sequencing and scheduling problem
    Download  www-eio.upc.es
    We present a framework for solving multistage pure 0–1 programs for a widely used sequencing and scheduling problem with uncertainty in the objective function coefficients, the...
    Antonio Alonso-Ayuso, Laureano F. Escudero, M. Ter...
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    WSC
    2008
    214views Modeling And Simulation» more  WSC 2008»
    Approximate dynamic programming: Lessons from the field
    13 years 10 months ago
    Approximate dynamic programming: Lessons from the field
    Download  www.informs-sim.org
    Approximate dynamic programming is emerging as a powerful tool for certain classes of multistage stochastic, dynamic problems that arise in operations research. It has been applie...
    Warren B. Powell
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    WCE
    2007
    165views Electrical And Computer Engi...» more  WCE 2007»
    Scenario Generation Employing Copulas
    13 years 8 months ago
    Scenario Generation Employing Copulas
    Download  www.iaeng.org
    —Multistage stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on scenario generation model about future...
    Kristina Sutiene, Henrikas Pranevicius
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    AUTOMATICA
    2006
    183views more  AUTOMATICA 2006»
    Bank management via stochastic optimal control
    13 years 7 months ago
    Bank management via stochastic optimal control
    Download  www.puk.ac.za
    This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
    Janine Mukuddem-Petersen, Mark Adam Petersen
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