Generating Scenario Trees for Multistage Decision Problems
From MaRDI portal
Publication:139592
DOI10.1287/mnsc.47.2.295.9834zbMath1232.91132OpenAlexW2072991174MaRDI QIDQ139592
Stein W. Wallace, Kjetil Høyland, Kjetil Høyland, Stein W. Wallace
Publication date: February 2001
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.47.2.295.9834
Related Items (only showing first 100 items - show all)
Post-tax optimization with stochastic programming ⋮ On the number of stages in multistage stochastic programs ⋮ A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems ⋮ A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains ⋮ Corporate hedging: an answer to the ``how question ⋮ Optimal capacity allocation in multi-auction electricity markets under uncertainty ⋮ Bidding in sequential electricity markets: the Nordic case ⋮ An algorithm for moment-matching scenario generation with application to financial portfolio optimisation ⋮ BFC-MSMIP: an exact branch-and-fix coordination approach for solving multistage stochastic mixed 0-1 problems ⋮ Generating scenario trees: a parallel integrated simulation-optimization approach ⋮ Optimal savings management for individuals with defined contribution pension plans ⋮ A moment-matching method to generate arbitrage-free scenarios ⋮ A framework for sensitivity analysis of decision trees ⋮ Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective ⋮ Scenario reduction for stochastic programs with conditional value-at-risk ⋮ Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design ⋮ Multiperiod portfolio investment using stochastic programming with conditional value at risk ⋮ Scenario construction and reduction applied to stochastic power generation expansion planning ⋮ An interactive approach to stochastic programming-based portfolio optimization ⋮ Stochastic multi-site capacity planning of TFT-LCD manufacturing using expected shadow-price based decomposition ⋮ Financial planning for Young households ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Automatic formulation of stochastic programs via an algebraic modeling language ⋮ A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry ⋮ A robust optimization model for multi-site production planning problem in an uncertain environment ⋮ A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ A two-stage stochastic mixed-integer programming approach to the index tracking problem ⋮ Clustering algorithms for scenario tree generation: application to natural hydro inflows ⋮ A stochastic programming approach to multicriteria portfolio optimization ⋮ Downside risk measurement in regime switching stochastic volatility ⋮ A stochastic bi-objective location model for strategic reverse logistics ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Importance sampling in stochastic optimization: an application to intertemporal portfolio choice ⋮ Stochastic dual dynamic integer programming ⋮ Designing and pricing guarantee options in defined contribution pension plans ⋮ Supply chain network design under uncertainty: a comprehensive review and future research directions ⋮ Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling ⋮ Cost/risk balanced management of scarce resources using stochastic programming ⋮ Dynamic generation of scenario trees ⋮ A global parallel model based design of experiments method to minimize model output uncer\-tainty ⋮ Scenario tree generation approaches using K-means and LP moment matching methods ⋮ Scenario tree construction driven by heuristic solutions of the optimization problem ⋮ Scenario tree generation and multi-asset financial optimization problems ⋮ A mixed integer programming model for multistage mean-variance post-tax optimization ⋮ A mixed R{\&}D projects and securities portfolio selection model ⋮ Bounding contingent claim prices via hedging strategy with coherent risk measures ⋮ A co-evolutionary matheuristic for the car rental capacity-pricing stochastic problem ⋮ Evaluation of insurance products with guarantee in incomplete markets ⋮ A general framework for multistage mean-variance post-tax optimization ⋮ A dynamic stochastic programming model for international portfolio management ⋮ Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control ⋮ Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk ⋮ On-line portfolio selection using stochastic programming ⋮ Modeling financial reinsurance in the casualty insurance business via stochastic programming ⋮ Short-term hydropower production planning by stochastic programming ⋮ Comment on ``An algorithm for moment-matching scenario generation with application to financial portfolio optimisation ⋮ Simulation and optimization approaches to scenario tree generation ⋮ Stochastic short-term hydropower planning with inflow scenario trees ⋮ Flexible lease contracts in the fleet replacement problem with alternative fuel vehicles: a real-options approach ⋮ Aggregation and discretization in multistage stochastic programming ⋮ Financial scenario generation for stochastic multi-stage decision processes as facility location problems ⋮ Epi-convergent discretizations of stochastic programs via integration quadratures ⋮ No-arbitrage conditions, scenario trees, and multi-asset financial optimization ⋮ A multi-objective multi-period stochastic programming model for public debt management ⋮ A stochastic programming approach for multi-period portfolio optimization ⋮ Designing a two-echelon distribution network under demand uncertainty ⋮ A study on modeling the dynamics of statistically dependent returns ⋮ Soft clustering-based scenario bundling for a progressive hedging heuristic in stochastic service network design ⋮ Multi-stage scenario generation by the combined moment matching and scenario reduction method ⋮ Integrating stochastic programming and decision tree techniques in land conversion problems ⋮ Fostering long-term care planning in practice: extending objectives and advancing stochastic treatment within location-allocation modelling ⋮ Quality evaluation of scenario-tree generation methods for solving stochastic programming problems ⋮ Optimal investment for a retirement plan with deferred annuities ⋮ ForestDisc ⋮ A combined stochastic programming and optimal control approach to personal finance and pensions ⋮ A new moment matching algorithm for sampling from partially specified symmetric distributions ⋮ A multi-stage stochastic integer programming approach for locating electric vehicle charging stations ⋮ Multi-horizon stochastic programming ⋮ Multiscale stochastic optimization: modeling aspects and scenario generation ⋮ Scenario generation by selection from historical data ⋮ Scenario tree modeling for multistage stochastic programs ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach ⋮ Asset-liability management for Czech pension funds using stochastic programming ⋮ A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging ⋮ Airline network revenue management by multistage stochastic programming ⋮ Multi-period portfolio selection with investor views based on scenario tree ⋮ Convergent bounds for stochastic programs with expected value constraints ⋮ The design of robust value-creating supply chain networks: a critical review ⋮ Comments on: ``A comparative study of time aggregation techniques in relation to power capacity-expansion modeling ⋮ The performance of stochastic dynamic and fixed mix portfolio models ⋮ Tree approximation for discrete time stochastic processes: a process distance approach ⋮ Risk management for international portfolios with basket options: A multi-stage stochastic programming approach ⋮ Multi-period forecasting and scenario generation with limited data ⋮ Optimal annuity portfolio under inflation risk ⋮ No-arbitrage bounds for financial scenarios ⋮ Two-stage linear decision rules for multi-stage stochastic programming ⋮ A stability result for linear Markovian stochastic optimization problems ⋮ Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk ⋮ Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming ⋮ Tax impact on multi-stage mean-variance portfolio allocation
This page was built for publication: Generating Scenario Trees for Multistage Decision Problems