66 search results - page 9 / 14 » Scenarios for Multistage Stochastic Programs |
JGO
2008
13 years 7 months ago
2008
Two-stage stochastic mixed-integer programming (SMIP) problems with recourse are generally difficult to solve. This paper presents a first computational study of a disjunctive cut...
ENTCS
2008
13 years 7 months ago
2008
This paper presents the language Lutin and its operational semantics. This language specifically targets the domain of reactive systems, where an execution is a (virtually) infini...
IOR
2006
13 years 7 months ago
2006
The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The m...
ICCS
2004
Springer
14 years 1 months ago
2004
Springer
In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible express...
CSCLP
2005
Springer
14 years 1 months ago
2005
Springer
Abstract. We adopt Benders’ decomposition algorithm to solve scenariobased Stochastic Constraint Programs (SCPs) with linear recourse. Rather than attempting to solve SCPs via a ...