Generating Scenario Trees for Multistage Decision Problems

From MaRDI portal
Publication:139592

DOI10.1287/mnsc.47.2.295.9834zbMath1232.91132OpenAlexW2072991174MaRDI QIDQ139592

Stein W. Wallace, Kjetil Høyland, Kjetil Høyland, Stein W. Wallace

Publication date: February 2001

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.47.2.295.9834



Related Items

Post-tax optimization with stochastic programming, On the number of stages in multistage stochastic programs, A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems, A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains, Corporate hedging: an answer to the ``how question, Optimal capacity allocation in multi-auction electricity markets under uncertainty, Bidding in sequential electricity markets: the Nordic case, An algorithm for moment-matching scenario generation with application to financial portfolio optimisation, BFC-MSMIP: an exact branch-and-fix coordination approach for solving multistage stochastic mixed 0-1 problems, Generating scenario trees: a parallel integrated simulation-optimization approach, Optimal savings management for individuals with defined contribution pension plans, A moment-matching method to generate arbitrage-free scenarios, A framework for sensitivity analysis of decision trees, Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective, Scenario reduction for stochastic programs with conditional value-at-risk, Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design, Multiperiod portfolio investment using stochastic programming with conditional value at risk, Scenario construction and reduction applied to stochastic power generation expansion planning, An interactive approach to stochastic programming-based portfolio optimization, Stochastic multi-site capacity planning of TFT-LCD manufacturing using expected shadow-price based decomposition, Financial planning for Young households, Options strategies for international portfolios with overall risk management via multi-stage stochastic programming, Automatic formulation of stochastic programs via an algebraic modeling language, A multistage stochastic programming asset-liability management model: an application to the Brazilian pension fund industry, A robust optimization model for multi-site production planning problem in an uncertain environment, A multistage stochastic programming framework for cardinality constrained portfolio optimization, A two-stage stochastic mixed-integer programming approach to the index tracking problem, Clustering algorithms for scenario tree generation: application to natural hydro inflows, A stochastic programming approach to multicriteria portfolio optimization, Downside risk measurement in regime switching stochastic volatility, A stochastic bi-objective location model for strategic reverse logistics, Integrated dynamic models for hedging international portfolio risks, Importance sampling in stochastic optimization: an application to intertemporal portfolio choice, Stochastic dual dynamic integer programming, Designing and pricing guarantee options in defined contribution pension plans, Supply chain network design under uncertainty: a comprehensive review and future research directions, Assessing policy quality in a multistage stochastic program for long-term hydrothermal scheduling, Cost/risk balanced management of scarce resources using stochastic programming, Dynamic generation of scenario trees, A global parallel model based design of experiments method to minimize model output uncer\-tainty, Scenario tree generation approaches using K-means and LP moment matching methods, Scenario tree construction driven by heuristic solutions of the optimization problem, Scenario tree generation and multi-asset financial optimization problems, A mixed integer programming model for multistage mean-variance post-tax optimization, A mixed R{\&}D projects and securities portfolio selection model, Bounding contingent claim prices via hedging strategy with coherent risk measures, A co-evolutionary matheuristic for the car rental capacity-pricing stochastic problem, Evaluation of insurance products with guarantee in incomplete markets, A general framework for multistage mean-variance post-tax optimization, A dynamic stochastic programming model for international portfolio management, Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control, Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk, On-line portfolio selection using stochastic programming, Modeling financial reinsurance in the casualty insurance business via stochastic programming, Short-term hydropower production planning by stochastic programming, Comment on ``An algorithm for moment-matching scenario generation with application to financial portfolio optimisation, Simulation and optimization approaches to scenario tree generation, Stochastic short-term hydropower planning with inflow scenario trees, Flexible lease contracts in the fleet replacement problem with alternative fuel vehicles: a real-options approach, Aggregation and discretization in multistage stochastic programming, Financial scenario generation for stochastic multi-stage decision processes as facility location problems, Epi-convergent discretizations of stochastic programs via integration quadratures, No-arbitrage conditions, scenario trees, and multi-asset financial optimization, A multi-objective multi-period stochastic programming model for public debt management, A stochastic programming approach for multi-period portfolio optimization, Designing a two-echelon distribution network under demand uncertainty, A study on modeling the dynamics of statistically dependent returns, Soft clustering-based scenario bundling for a progressive hedging heuristic in stochastic service network design, Multi-stage scenario generation by the combined moment matching and scenario reduction method, Integrating stochastic programming and decision tree techniques in land conversion problems, Fostering long-term care planning in practice: extending objectives and advancing stochastic treatment within location-allocation modelling, Quality evaluation of scenario-tree generation methods for solving stochastic programming problems, Optimal investment for a retirement plan with deferred annuities, ForestDisc, A combined stochastic programming and optimal control approach to personal finance and pensions, A new moment matching algorithm for sampling from partially specified symmetric distributions, A multi-stage stochastic integer programming approach for locating electric vehicle charging stations, Multi-horizon stochastic programming, Multiscale stochastic optimization: modeling aspects and scenario generation, Scenario generation by selection from historical data, Scenario tree modeling for multistage stochastic programs, Scenario generation in stochastic programming using principal component analysis based on moment-matching approach, Asset-liability management for Czech pension funds using stochastic programming, A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging, Airline network revenue management by multistage stochastic programming, Multi-period portfolio selection with investor views based on scenario tree, Convergent bounds for stochastic programs with expected value constraints, The design of robust value-creating supply chain networks: a critical review, Comments on: ``A comparative study of time aggregation techniques in relation to power capacity-expansion modeling, The performance of stochastic dynamic and fixed mix portfolio models, Tree approximation for discrete time stochastic processes: a process distance approach, Risk management for international portfolios with basket options: A multi-stage stochastic programming approach, Multi-period forecasting and scenario generation with limited data, Optimal annuity portfolio under inflation risk, No-arbitrage bounds for financial scenarios, Two-stage linear decision rules for multi-stage stochastic programming, A stability result for linear Markovian stochastic optimization problems, Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk, Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming, Tax impact on multi-stage mean-variance portfolio allocation, Fast scenario reduction by conditional scenarios in two-stage stochastic MILP problems, Genetic Algorithms for Scenario Generation in Stochastic Programming, The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems, Lifetime consumption and investment with housing, deferred annuities and home equity release, Discretizing Distributions with Exact Moments: Error Estimate and Convergence Analysis, Unnamed Item, Supplier selection problem for multiple projects with uncertain demand and project life cycles, Unnamed Item, Lagrange dual bound computation for stochastic service network design, From scenarios to conditional scenarios in two‐stage stochastic MILP problems, Problem-driven scenario clustering in stochastic optimization, Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products, A New Scenario Reduction Method Based on Higher-Order Moments, An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems, Increasing reliability of price signals in long term energy management problems, Learning‐based adaptive‐scenario‐tree model predictive control with improved probabilistic safety using robust Bayesian neural networks, Futures Market Trading for Electricity Producers and Retailers, Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management, Unnamed Item, Performance Enhancements for Defined Benefit Pension Plans, Pricing Reinsurance Contracts, Scenario Tree Generation for Multi-stage Stochastic Programs, Approximations for Probability Distributions and Stochastic Optimization Problems, Comparison of Sampling Methods for Dynamic Stochastic Programming, Partially Adaptive Stochastic Optimization for Electric Power Generation Expansion Planning, A Stochastic Integer Programming Approach to Air Traffic Scheduling and Operations, Numerical evaluation of approximation methods in stochastic programming, Stress testing for VaR and CVaR, Analyzing legal regulations in the Norwegian life insurance business using a multistage asset-liability management model, Multistage portfolio optimization with stocks and options, SMART: A Stochastic Multiscale Model for the Analysis of Energy Resources, Technology, and Policy, From Empirical Observations to Tree Models for Stochastic Optimization: Convergence Properties, On the Scenario-Tree Optimal-Value Error for Stochastic Programming Problems, Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies, Personalized goal-based investing via multi-stage stochastic goal programming, Dynamic hedging of basket options under proportional transaction costs using receding horizon control, Dynamic option hedging via stochastic model predictive control based on scenario simulation, Building a stochastic programming model from scratch: a harvesting management example, A parsimonious model for generating arbitrage-free scenario trees, Optimal retirement planning with a focus on single and joint life annuities, CORRELATIONS IN STOCHASTIC PROGRAMMING: A CASE FROM STOCHASTIC SERVICE NETWORK DESIGN, Path-dependent scenario trees for multistage stochastic programmes in finance, Unnamed Item