Multistage stochastic programs via autoregressive sequences and individual probability constraints

zbMATH Open1154.90557MaRDI QIDQ3604332FDOQ3604332

Authors: Vlasta Kaňková 

Publication date: 24 February 2009

Full work available at URL: https://eudml.org/doc/33919

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zbMATH Keywords

Wasserstein metricempirical estimatesmultiobjective problemsautoregressive sequenceindividual probability constraintsmultistage stochastic programming problem

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

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Cited In (3)

• Title not available (Why is that?)
• Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
• Empirical estimates in stochastic optimization via distribution tails

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