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119
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IFIP
2005
Springer
15 years 9 months ago
Multi-Stage Stochastic Electricity Portfolio Optimization in Liberalized Energy Markets
In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spo...
Ronald Hochreiter, Georg Ch. Pflug, David Wozabal
PC
2008
158views Management» more  PC 2008»
15 years 3 months ago
Application of multistage stochastic programs solved in parallel in portfolio management
We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates...
Mária Lucká, Igor Melichercik, Ladis...
CDC
2010
IEEE
167views Control Systems» more  CDC 2010»
14 years 11 months ago
Numerical methods for the optimization of nonlinear stochastic delay systems, and an application to internet regulation
The Markov chain approximation method is an effective and widely used approach for computing optimal values and controls for stochastic systems. It was extended to nonlinear (and p...
Harold J. Kushner
155
Voted
JSAC
2008
121views more  JSAC 2008»
15 years 3 months ago
Stochastic analysis of network coding in epidemic routing
Epidemic routing has been proposed to reduce the data transmission delay in disruption tolerant wireless networks, in which data can be replicated along multiple opportunistic path...
Yunfeng Lin, Baochun Li, Ben Liang
138
Voted
PIMRC
2010
IEEE
15 years 1 months ago
Low-complexity admission control for distributed power-controlled networks with stochastic channels
This study addresses the general problem of efficient resource management in wireless networks with arbitrary timevarying topologies. Communication channels are assumed to generall...
Stepán Kucera, Bing Zhang