Autoregressive processes in optimization

DOI10.2307/3214438MaRDI QIDQ3786283zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

simulationgeometric ergodicitydynamic structurestochastic linear programmingconvergence of their moments

Mathematics Subject Classification ID

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

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Cited in

(2)

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

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