66 search results - page 1 / 14 » Scenarios for Multistage Stochastic Programs |
INFORMATICALT
2010
13 years 2 months ago
2010
Abstract. In stochastic programming and decision analysis, an important issue consists in the approximate representation of the multidimensional stochastic underlying process in th...
ANOR
2000
13 years 7 months ago
2000
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...
EOR
2008
13 years 7 months ago
2008
The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. ...
MP
2008
13 years 7 months ago
2008
In this paper we discuss computational complexity and risk averse approaches to two and multistage stochastic programming problems. We argue that two stage (say linear) stochastic ...