Stochastic programming with fuzzy linear partial information on probability distribution

DOI10.1016/J.EJOR.2003.10.049zbMATH Open1065.90057OpenAlexW1980263293WikidataQ59284921 ScholiaQ59284921MaRDI QIDQ704101FDOQ704101

Authors D. Kharzeev

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2003.10.049

zbMATH Keywords

Fuzzy sets\(L\)-shaped method\(\alpha\)-cut techniqueChance constrained approachRecourse approachStochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 4083368 (Why is no real title available?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Introduction to Stochastic Programming
• Some characterizations of lower probabilities and other monotone capacities through the use of Möbius inversion
• Upper and Lower Probabilities Induced by a Multivalued Mapping

Cited in

(16)

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• Modeling portfolio efficiency using stochastic optimization with incomplete information and partial uncertainty
• Two-stage stochastic convex programming with linear partial information
• Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach
• Applying stochastic goal programming: a case study on water use planning
• Stochastic programming problems involving Pareto distribution
• Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
• Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas
• Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach
• A novel multi-stage possibilistic stochastic programming approach (with an application in relief distribution planning)
• Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
• Multistage stochastic programming with fuzzy probability distribution

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