Bound-based decision rules in multistage stochastic programming
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Publication:3604331
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Cites work
- scientific article; zbMATH DE number 622005 (Why is no real title available?)
- scientific article; zbMATH DE number 6846220 (Why is no real title available?)
- scientific article; zbMATH DE number 824994 (Why is no real title available?)
- Aggregation and discretization in multistage stochastic programming
- Barycentric scenario trees in convex multistage stochastic programming
- Convergent bounds for stochastic programs with expected value constraints
- Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- Generating scenario trees for multistage decision problems
- Integrated chance constraints: reduced forms and an algorithm
- Introduction to stochastic programming.
- Multistage stochastic programming: Error analysis for the convex case
- On approximation in multistage stochastic programs: Markov dependence
- On complexity of stochastic programming problems
- On decision rules in stochastic programming
- Primal-Dual Aggregation and Disaggregation for Stochastic Linear Programs
- Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
- Scenario generation and stochastic programming models for asset liability management
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Second-Order Lower Bounds on the Expectation of a Convex Function
- Stability of Multistage Stochastic Programs
- Step decision rules for multistage stochastic programming: a heuristic approach
- The performance of stochastic dynamic and fixed mix portfolio models
- The sample average approximation method for stochastic discrete optimization
- Threshold accepting approach to improve bound-based approximations for portfolio optimization
- Tree Approximations of Dynamic Stochastic Programs
- Variance reduction in sample approximations of stochastic programs
Cited in
(17)- Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
- Barycentric bounds in stochastic programming: theory and application
- Lagrangian dual decision rules for multistage stochastic mixed-integer programming
- A scalable bounding method for multistage stochastic programs
- Guaranteed bounds for general nondiscrete multistage risk-averse stochastic optimization programs
- Constant depth decision rules for multistage optimization under uncertainty
- Joint dynamic probabilistic constraints with projected linear decision rules
- Generalized decision rule approximations for stochastic programming via liftings
- Bounds in multi-horizon stochastic programs
- Monotonic bounds in multistage mixed-integer stochastic programming
- Generating decision rules for flexible capacity expansion problem through gene expression programming
- Step decision rules for multistage stochastic programming: a heuristic approach
- Convergent bounds for stochastic programs with expected value constraints
- Two-stage linear decision rules for multi-stage stochastic programming
- Bounding multi-stage stochastic programs from above
- Bounds and approximations for multistage stochastic programs
- Decision rule bounds for two-stage stochastic bilevel programs
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