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» Scenarios for Multistage Stochastic Programs

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MP
2006

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Solving multistage asset investment problems by the sample average approximation method

13 years 7 months ago

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The vast size of real world stochastic programming instances requires sampling to make them practically solvable. In this paper we extend the understanding of how sampling affects ...

Jörgen Blomvall, Alexander Shapiro

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PC
2008

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Application of multistage stochastic programs solved in parallel in portfolio management

13 years 7 months ago

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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...

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AUTOMATICA
2008

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Step decision rules for multistage stochastic programming: A heuristic approach

13 years 7 months ago