Test problems in stochastic multistage programming

DOI10.1080/02331930008844481MaRDI QIDQ4484946zbMATH OpenOpenAlexFDO

Authors Karl Frauendorfer, Gido Haarbrücker

Publication date 5 June 2000

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://www.alexandria.unisg.ch/7089/1/Frauendorfer_Haarbr%C3%BCcker_TestProblemsInStochasticMultistageProgramming.pdf

zbMATH Keywords

interest rate modelsbarycentric approximationmultistage stochastic linear programsfixed-income securities management

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

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Cites work

• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• An equilibrium characterization of the term structure
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• MSLiP: A computer code for the multistage stochastic linear programming problem
• Parallel decomposition of multistage stochastic programming problems
• Partitioning procedures for solving mixed-variables programming problems

Cited in

(6)

• scientific article; zbMATH DE number 5494133 (Why is no real title available?)
• A family of stochastic programming test problems based on a model for tactical manpower planning
• Solving sequences of refined multistage stochastic linear programs
• scientific article; zbMATH DE number 1187213 (Why is no real title available?)
• Testing the structure of multistage stochastic programs
• The stochastic test collection problem: models, exact and heuristic solution approaches

Describes a project that uses

Uses Software

• EVPI
• MSLiP

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