scientific article; zbMATH DE number 1187213

MaRDI QIDQ3840422zbMATH OpenFDO

Authors Karl Frauendorfer, Ch. Marohn

Publication date 10 August 1998

zbMATH Keywords

approximationdiscretizationlinear stochastic multistage programsmultidimensional discrete-time stochastic processrefinement schemeuncertain data

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• Solving sequences of refined multistage stochastic linear programs
• Stability of Multistage Stochastic Programs
• Barycentric scenario trees in convex multistage stochastic programming
• Scenario tree modeling for multistage stochastic programs
• Test problems in stochastic multistage programming

Cited in

(12)

• Management of non-maturing deposits by multistage stochastic programming
• Solving sequences of refined multistage stochastic linear programs
• Applications of stochastic programming: Achievements and questions
• Testing the structure of multistage stochastic programs
• Horizon and stages in applications of stochastic programming in finance
• An effective heuristic for multistage linear programming with a stochastic right-hand side
• Version-independence and nested distributions in multistage stochastic optimization
• Multistage stochastic programming: Error analysis for the convex case
• Test problems in stochastic multistage programming
• Reflections on output analysis for multistage stochastic linear programms
• Compromise policy for multi-stage stochastic linear programming: variance and bias reduction
• Exact Quantization of Multistage Stochastic Linear Problems

Describes a project that uses

Uses Software

• MSLiP

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3840422)