Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques
Publication:2917446
DOI10.1007/978-3-642-25746-9_15zbMath1269.90070OpenAlexW2133755802MaRDI QIDQ2917446
Thibault Christel, Zhihao Cen, Joseph Frédéric Bonnans
Publication date: 28 September 2012
Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_15
Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Sensitivity, stability, parametric optimization (90C31) Stochastic programming (90C15) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Sensitivity analysis for optimization problems on manifolds (49Q12) Actuarial science and mathematical finance (91G99)
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