EVPI

swMATH2644MaRDI QIDQ15183FDOQ15183

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Described by source

• EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures

Cited In (19)

• A combined SDDP/Benders decomposition approach with a risk-averse surface concept for reservoir operation in long term power generation planning
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• Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
• An approach to the valuation and decision of ERP investment projects based on real options
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures
• Title not available (Why is that?)
• Modelling and analysis of multistage stochastic programming problems: A software environment
• Optimisation of stochastic programming by hidden Markov modelling based scenario generation
• A Stochastic Integer Programming Approach to Air Traffic Scheduling and Operations
• Investment and the dynamic cost of income uncertainty: the case of diminishing expectations in agriculture
• Aggregation and discretization in multistage stochastic programming
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Sequential importance sampling algorithms for dynamic stochastic programming
• Convergent bounds for stochastic programs with expected value constraints
• Computational solution of capacity planning models under uncertainty
• Title not available (Why is that?)
• Modelling and solving environments for mathematical programming (MP): a status review and new directions
• A Cray T3E implementation of a parallel stochastic dynamic assets and liabilities management model
• Test problems in stochastic multistage programming

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