Output analysis for approximated stochastic programs

MaRDI QIDQ2752027zbMATH OpenFDO

Authors Jitka Dupačová

Publication date 14 May 2002

zbMATH Keywords

approximated distributionsapproximated stochastic programrobustnesssensitivitystability

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cited in

(8)

• Stochastic programs and statistical data
• Applications of stochastic programming: Achievements and questions
• Portfolio optimization via stochastic programming: Methods of output analysis
• Ambiguous chance constrained problems and robust optimization
• Worst-case distribution analysis of stochastic programs
• Horizon and stages in applications of stochastic programming in finance
• Local stability and differentiability of the mean-conditional value at risk model defined on the mixed-integer loss functions
• Reflections on output analysis for multistage stochastic linear programms

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