Multistage multivariate nested distance: an empirical analysis.

DOI10.14736/KYB-2018-6-1184MaRDI QIDQ3120384zbMATH OpenOpenAlexFDO

Authors Sebastiano Vitali

Publication date 1 March 2019

Published in Kybernetika (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10338.dmlcz/147604

zbMATH Keywords

multistage stochastic optimizationnested distanceportfolio models

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15)

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Cited in

(7)

• Evaluation of scenario reduction algorithms with nested distance
• Multi-stage stochastic optimization: the distance between stochastic scenario processes
• Tree approximation for discrete time stochastic processes: a process distance approach
• From empirical observations to tree models for stochastic optimization: convergence properties
• Multistage stochastic optimization
• A distance for multistage stochastic optimization models
• Version-independence and nested distributions in multistage stochastic optimization

Describes a project that uses

Uses Software

• Matlab

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