Postoptimality for multistage stochastic linear programs

DOI10.1007/BF02031700zbMATH Open0838.90089MaRDI QIDQ1896444FDOQ1896444

Authors: Jitka Dupačová 

Publication date: 27 August 1995

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

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zbMATH Keywords

scenariosworst case analysispostoptimality analysismultistage stochastic linear programscontamination technique

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

• MSLiP: A computer code for the multistage stochastic linear programming problem
• Multi-stage stochastic linear programs for portfolio optimization
• Scenario optimization
• Formulation of the Russell-Yasuda Kasai financial planning model
• Stability and sensitivity-analysis for stochastic programming
• Stochastic network optimization models for investment planning
• Title not available (Why is that?)
• Stochastic programming with incomplete information:a surrey of results on postoptimization and sensitivity analysis
• Stability in multistage stochastic programming

Cited In (13)

• Post-tax optimization with stochastic programming
• Scenario-based stochastic programs: Resistance with respect to sample
• From data to model and back to data: A bond portfolio management problem
• Applications of stochastic programming under incomplete information
• Structure of risk-averse multistage stochastic programs
• Risk objectives in two-stage stochastic programming models
• A robust posterior preference multi-response optimization approach in multistage processes
• Testing the structure of multistage stochastic programs
• Applications of stochastic programming: Achievements and questions
• A heuristic procedure for stochastic integer programs with complete recourse
• Horizon and stages in applications of stochastic programming in finance
• The airline long-haul fleet planning problem: the case of TAP service to/from Brazil
• Postoptimality for mean-risk stochastic mixed-integer programs and its application

Uses Software

• MSLiP

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