Multistage stochastic programs via autoregressive sequences and individual probability constraints

MaRDI QIDQ3604332zbMATH OpenFDO

Authors Vlasta Kaňková

Publication date 24 February 2009

Full work available at URL https://eudml.org/doc/33919, http://www.kybernetika.cz/content/2008/2/151

zbMATH Keywords

Wasserstein metricempirical estimatesmultiobjective problemsautoregressive sequenceindividual probability constraintsmultistage stochastic programming problem

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 1208128 (Why is no real title available?)
• scientific article; zbMATH DE number 958363 (Why is no real title available?)
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• Melt control: charge optimization via stochastic programming
• Multicriteria Optimization
• Multistage stochastic programs via stochastic parametric optimization
• On approximation in multistage stochastic programs: Markov dependence
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• Stability of Solutions for Stochastic Programs with Complete Recourse
• Stochastic Lagrangian relaxation applied to power scheduling in a hydro-thermal system under uncertainty
• Term structure models in multistage stochastic programming: Estimation and approximation
• Uniform quasi-concavity in probabilistic constrained stochastic programming

Cited in

(3)

• scientific article; zbMATH DE number 1859301 (Why is no real title available?)
• Empirical estimates in stochastic optimization via distribution tails
• Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

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