scientific article; zbMATH DE number 4061000

MaRDI QIDQ3795487zbMATH OpenFDO

Authors Hiroshi Morita, Toshio Nishida, Hiroaki Ishii

Publication date 1988

zbMATH Keywords

minimax approachconfidence region methoddiagonal covariance matrixlinear stochastic knapsack problemmulti- normal distribution function

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Combinatorial optimization (90C27) Stochastic programming (90C15) Integer programming (90C10)

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(4)

• Stochastic linear knapsack programming problem and its application to a portfolio selection problem
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• A stochastic improvement method for stochastic programming

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