Scenarios for multistage stochastic programs
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(only showing first 100 items - show all)- Scenario tree modeling for multistage stochastic programs
- Global optimization of robust chance constrained problems
- Airline network revenue management by multistage stochastic programming
- Generating scenario trees for multistage decision problems
- Applications of stochastic programming: Achievements and questions
- Scenario reduction for stochastic programs with conditional value-at-risk
- A stochastic programming approach for the optimal management of aggregated distributed energy resources
- Computation of weighted sums of rewards for concurrent MDPs
- Stochastic short-term hydropower planning with inflow scenario trees
- SDDP for multistage stochastic linear programs based on spectral risk measures
- On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
- A multi-stage stochastic program for supply chain network redesign problem with price-dependent uncertain demands
- Totally unimodular multistage stochastic programs
- Solution sensitivity-based scenario reduction for stochastic unit commitment
- The natural hedge of a gas-fired power plant
- Optimal capacity allocation in multi-auction electricity markets under uncertainty
- A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants
- A stochastic programming model for the optimal issuance of government bonds
- Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
- The decision rule approach to optimization under uncertainty: methodology and applications
- Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
- A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging
- Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs
- Sparse factor model based on trend filtering
- Multi-period portfolio selection with investor views based on scenario tree
- Special issue: topics in stochastic programming
- Problem-based optimal scenario generation and reduction in stochastic programming
- A stability result for linear Markovian stochastic optimization problems
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
- Scenario tree reduction for multistage stochastic programs
- Stochastic optimization models for a single-sink transportation problem
- Designing a two-echelon distribution network under demand uncertainty
- Multistage stochastic demand-side management for price-making major consumers of electricity in a co-optimized energy and reserve market
- A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania
- Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
- A copula-based heuristic for scenario generation
- Multi-period forecasting and scenario generation with limited data
- Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
- Risk-averse two-stage stochastic programs in furniture plants
- The design of robust value-creating supply chain networks
- A dynamic stochastic programming model for international portfolio management
- Short-term hydropower production planning by stochastic programming
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- A two-stage stochastic programming model for electric energy producers
- Horizon and stages in applications of stochastic programming in finance
- Effective location models for sorting recyclables in public management
- A robust optimisation approach to the problem of supplier selection and allocation in outsourcing
- Path-dependent scenario trees for multistage stochastic programmes in finance
- A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
- Total variation bounds on the expectation of periodic functions with applications to recourse approximations
- Medium range optimization of copper extraction planning under uncertainty in future copper prices
- Futures market trading for electricity producers and retailers
- An Optimization-Based Conjectured Response Approach to Medium-term Electricity Markets Simulation
- Stochastic optimization of electricity portfolios: scenario tree modeling and risk management
- Downside risk in multiperiod tracking error models
- A multi-stage stochastic programming approach for production planning with uncertainty in the quality of raw materials and demand
- A moment-matching method to generate arbitrage-free scenarios
- A new elementary geometric approach to option pricing bounds in discrete time models
- Forward thresholds for operation of pumped-storage stations in the real-time energy market
- Perspectives of approximate dynamic programming
- An effective heuristic for multistage linear programming with a stochastic right-hand side
- Scenario construction and reduction applied to stochastic power generation expansion planning
- An interactive approach to stochastic programming-based portfolio optimization
- CORRELATIONS IN STOCHASTIC PROGRAMMING: A CASE FROM STOCHASTIC SERVICE NETWORK DESIGN
- Multistage K-means clustering for scenario tree construction
- Solving ALM problems via sequential stochastic programming
- Non-parametric approximation of non-anticipativity constraints in scenario-based multistage stochastic programming
- Algorithmic Aspects of Scenario-Based Multi-stage Decision Process Optimization
- Scenario Reduction Techniques in Stochastic Programming
- Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
- Dynamic hedging of basket options under proportional transaction costs using receding horizon control
- A two-stage stochastic mixed-integer programming approach to the index tracking problem
- A stochastic programming approach to multicriteria portfolio optimization
- Solving multistage stochastic networks: An application of scenario aggregation
- Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
- Scenario tree generation approaches using K-means and LP moment matching methods
- A mathematical model for identifying an optimal waste management policy under uncertainty
- scientific article; zbMATH DE number 1552226 (Why is no real title available?)
- Hedging market and credit risk in corporate bond portfolios
- Dynamic portfolio management for property and casualty insurance
- Pricing reinsurance contracts
- Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
- Tactical portfolio planning in the natural gas supply chain
- Scenario Tree Generation for Multi-stage Stochastic Programs
- Comparison of Sampling Methods for Dynamic Stochastic Programming
- A learning-based matheuristic for stochastic multicommodity network design
- Building a stochastic programming model from scratch: a harvesting management example
- A parsimonious model for generating arbitrage-free scenario trees
- Supersparse linear integer models for optimized medical scoring systems
- Vehicle routing with space- and time-correlated stochastic travel times: evaluating the objective function
- Sampling Scenario Set Partition Dual Bounds for Multistage Stochastic Programs
- A stochastic integer programming approach to air traffic scheduling and operations
- Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming
- Scenario generation with distribution functions and correlations
- Optimization Methods in Finance
- Genetic Algorithms for Scenario Generation in Stochastic Programming
- Amsaa: A Multistep Anticipatory Algorithm for Online Stochastic Combinatorial Optimization
- Option pricing by mathematical programming†
- An anytime multistep anticipatory algorithm for online stochastic combinatorial optimization
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