Stochastic programming with random processes

DOI10.1007/BF02204811MaRDI QIDQ1178433zbMATH OpenOpenAlexFDO

Authors Tomáš Cipra

Publication date 26 June 1992

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02204811

zbMATH Keywords

scenario analysischance-constrained programentropic penalty approachexponential penalty model

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

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• Autoregressive processes in optimization
• Extremal theory for stochastic processes
• Extremes and related properties of random sequences and processes
• Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
• The Entropic Penalty Approach to Stochastic Programming

Cited in

(6)

• Stochastic programming: potential hazards when random variables reflect market interaction
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• Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
• scientific article; zbMATH DE number 987422 (Why is no real title available?)

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