Postoptimality for multistage stochastic linear programs

DOI10.1007/BF02031700zbMath0838.90089MaRDI QIDQ1896444

Jitka Dupačová

Publication date: 27 August 1995

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

scenariosworst case analysispostoptimality analysismultistage stochastic linear programscontamination technique

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (11)

A heuristic procedure for stochastic integer programs with complete recourse ⋮ Applications of stochastic programming under incomplete information ⋮ Scenario-based stochastic programs: Resistance with respect to sample ⋮ Unnamed Item ⋮ Postoptimality for mean-risk stochastic mixed-integer programs and its application ⋮ The airline long-haul fleet planning problem: the case of TAP service to/from Brazil ⋮ From data to model and back to data: A bond portfolio management problem ⋮ Testing the structure of multistage stochastic programs ⋮ Horizon and stages in applications of stochastic programming in finance ⋮ Structure of risk-averse multistage stochastic programs ⋮ Applications of stochastic programming: Achievements and questions

Uses Software

• MSLiP

Cites Work

• Unnamed Item
• Scenario optimization
• MSLiP: A computer code for the multistage stochastic linear programming problem
• Stochastic network optimization models for investment planning
• Multi-stage stochastic linear programs for portfolio optimization
• Stability in multistage stochastic programming
• Stability and sensitivity-analysis for stochastic programming
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Stochastic programming with incomplete information:a surrey of results on postoptimization and sensitivity analysis

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