Autoregressive processes in optimization

DOI10.2307/3214438zbMATH Open0643.90064OpenAlexW2317254484MaRDI QIDQ3786283FDOQ3786283

Authors: Tomáš Cipra 

Publication date: 1988

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214438

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zbMATH Keywords

simulationgeometric ergodicitydynamic structurestochastic linear programmingconvergence of their moments

Mathematics Subject Classification ID

Stochastic programming (90C15) Limit theorems in probability theory (60F99)

Cited In (2)

• Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
• Stochastic programming with random processes

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