Formulation and solution strategies for nonparametric nonlinear stochastic programmes with an application in finance

DOI10.1080/02331931003700707MaRDI QIDQ3577836zbMATH OpenOpenAlexWikidataFDO

Authors Fabian Bastin, Cinzia Cirillo, Philippe L. Toint

Publication date 26 July 2010

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331931003700707

zbMATH Keywords

discrete choiceFX marketnonparametric estimationsample average approximation

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments
• Active set algorithms for isotonic regression; a unifying framework
• Close-Point Spatial Tests and Their Application to Random Number Generators
• Convergence of quasi-Newton matrices generated by the symmetric rank one update
• Convergence theory for nonconvex stochastic programming with an application to mixed logit
• Discrete Choice Methods with Simulation
• Estimating density functions: a constrained maximum likelihood approach^*
• Estimation of the inverse function for random variate generation
• Numerical Optimization
• Sample-path solution of stochastic variational inequalities
• Spline approximation using Kalman filter state estimation
• Trust Region Methods

Cited in

(2)

• Quantitative stability of fully random two-stage stochastic programs with mixed-integer recourse
• Numerical treatment of an asset price model with non-stochastic uncertainty. (With comments and rejoinder).

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