Duality in stochastic linear and dynamic programming
From MaRDI portal
PERTstochastic linear programmingsufficient condition for stabilityproject planningconditions for optimalityintegrated chance constraintsdiscrete-time stochastic dynamic programming
Convex programming (90C25) Linear programming (90C05) Applications of mathematical programming (90C90) Deterministic scheduling theory in operations research (90B35) Dynamic programming (90C39) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31) Dynamic programming in optimal control and differential games (49L20) Inventory, storage, reservoirs (90B05) Production models (90B30) Programming in abstract spaces (90C48) Duality theory (optimization) (49N15)
Recommendations
Cited in
(48)- Alternate risk measures for emergency medical service system design
- The effect of regularization in portfolio selection problems
- Processing second-order stochastic dominance models using cutting-plane representations
- scientific article; zbMATH DE number 1163652 (Why is no real title available?)
- Correction to: ``Complexity of stochastic dual dynamic programming
- ALM models based on second order stochastic dominance
- Statistical approximations for recourse constrained stochastic programs
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- Sample average approximation of expected value constrained stochastic programs
- An XML-based schema for stochastic programs
- A general concept for solving linear multicriteria programming problems with crisp, fuzzy or stochastic values
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting
- On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
- On preparedness resource allocation planning for natural disaster relief under endogenous uncertainty with time-consistent risk-averse management
- On the safe side of stochastic programming: bounds and approximations
- Investment evaluation based on the commerical scope. The production of natural gas
- Stochastic linear programming to optimize some stochastic systems
- Measure theoretic versions of linear programming
- Risk-averse dynamic programming for Markov decision processes
- On integrated chance constraints in ALM for pension funds
- Integrated chance constraints: reduced forms and an algorithm
- A nonconvex dissipative system and its applications. I
- scientific article; zbMATH DE number 4010246 (Why is no real title available?)
- An infeasible-point subgradient method using adaptive approximate projections
- On time stochastic dominance induced by mixed integer-linear recourse in multistage stochastic programs
- Multivariate value at risk and related topics
- An SDP approach for multiperiod mixed 0-1 linear programming models with stochastic dominance constraints for risk management
- Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
- Some insights into the solution algorithms for SLP problems
- scientific article; zbMATH DE number 3922406 (Why is no real title available?)
- Risk-averse feasible policies for large-scale multistage stochastic linear programs
- Duality in continuous-time homogeneous programming
- Portfolio choice models based on second-order stochastic dominance measures: an overview and a computational study
- Risk tomography
- Executing join queries in an uncertain distributed environment
- Primal and dual linear decision rules in stochastic and robust optimization
- Approximation and contamination bounds for probabilistic programs
- An ALM model for pension funds using integrated chance constraints
- A novel probabilistic formulation for locating and sizing emergency medical service stations
- Duality and martingales: a stochastic programming perspective on contingent claims
- Multilinear approximation on rectangles and the related moment problem
- On stochastic programming ii: dynamic problems under risk∗
- Solving two-stage stochastic programming problems with level decomposition
- scientific article; zbMATH DE number 4037609 (Why is no real title available?)
- Stochastic modelling and optimization for environmental management
- Probabilistic modeling of multiperiod service levels
- On relations between chance constrained and penalty function problems under discrete distributions
This page was built for publication: Duality in stochastic linear and dynamic programming
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1080363)
