Test problems in stochastic multistage programming (Q4484946)
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scientific article; zbMATH DE number 1455257
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| English | Test problems in stochastic multistage programming |
scientific article; zbMATH DE number 1455257 |
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Test problems in stochastic multistage programming (English)
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5 June 2000
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fixed-income securities management
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interest rate models
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multistage stochastic linear programs
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barycentric approximation
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0.8149703145027161
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0.7918738126754761
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0.7908017635345459
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0.783058226108551
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This study is devoted to numerical analysis of the performance of approximate multistage stochastic linear programs related with a problem of refinancing loans by borrowing bonds of different maturities. Various types of continuous time interest rate models are considered and their parameters presented. Computational results are based on the barycentric approximation method and carried out for different time horizons, which correspond to different numbers of equally spaced stages, and for partitioning in the root node and along the scenario tree. Several measures of the achieved quality of approximation are used and the numerical results are complemented by empirical observations concerning sensitivity to parameters of the chosen interest rate process and to the applied partitioning strategy.
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