Extended scenario analysis (Q1176855): Difference between revisions
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English | Extended scenario analysis |
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Extended scenario analysis (English)
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25 June 1992
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\textit{R. T. Rockafellar} and \textit{R. J.-B. Wets} considered scenario problems in stochastic programming and proposed a solution method which they called the progressive hedging algorithm [see Math. Oper. Res. 16, No. 1, 119-147 (1991; Zbl 0729.90067)]. In the present paper nonseparable convex constraints \(x\in\bigcap^ m_{i=1}K_ i\), where \(K_ i\) are nonempty closed convex subsets of \(R^ n\), are added and the progressive hedging algorithm is extended to this problem. As an illustrative example a portfolio optimization problem is solved.
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scenario analysis
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progressive hedging algorithm
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nonseparable convex constraints
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portfolio optimization
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