INFORMATICALT
2010
13 years 7 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...
ORL
2008
14 years 16 days ago
2008
For the problem of lot-sizing on a tree with constant capacities, or stochastic lot-sizing with a scenario tree, we present various reformulations based on mixing sets. We also sh...
EOR
2008
14 years 19 days 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. ...
EOR
2008
14 years 19 days ago
2008
We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms...
WCE
2007
14 years 1 months ago
2007
—Multistage stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on scenario generation model about future...