EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures

DOI10.1023/A:1018956530304MaRDI QIDQ1808191zbMATH OpenOpenAlexFDO

Authors R. T. Thompson, M. A. H. Dempster

Publication date 2 December 1999

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

Full work available at URL https://doi.org/10.1023/a:1018956530304

zbMATH Keywords

aggregationlinear programmingnested Benders decompositionparallel algorithmsMIMD computersdynamic stochastic programming

Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Stochastic programming (90C15)

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Cited in

(22)

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• Measuring risk for income streams
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• Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
• An approach to the valuation and decision of ERP investment projects based on real options
• Modelling and analysis of multistage stochastic programming problems: A software environment
• Investment and the dynamic cost of income uncertainty: the case of diminishing expectations in agriculture
• Parallel processors for planning under uncertainty
• A moment-matching method to generate arbitrage-free scenarios
• Path-dependent scenario trees for multistage stochastic programmes in finance
• EVPI
• Solving ALM problems via sequential stochastic programming
• Aggregation and discretization in multistage stochastic programming
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Convergent bounds for stochastic programs with expected value constraints
• Sequential importance sampling algorithms for dynamic stochastic programming
• Scenario generation for stochastic optimization problems via the sparse grid method
• Schumann, a modeling framework for supply chain management under uncertainty
• A stochastic integer programming approach to air traffic scheduling and operations
• CORO, a modeling and an algorithmic framework for oil supply, transformation and distribution optimization under uncertainty
• Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method

Describes a project that uses

Uses Software

• MSLiP

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