39 search results - page 2 / 8 » On Stability of Multistage Stochastic Programs |
MP
2008
13 years 5 months ago
2008
Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen negative events. In order to en...
MP
2006
13 years 5 months ago
2006
The vast size of real world stochastic programming instances requires sampling to make them practically solvable. In this paper we extend the understanding of how sampling affects ...
PC
2008
13 years 5 months ago
2008
We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates...
SAGA
2009
Springer
13 years 11 months ago
2009
Springer
We propose a generic method for obtaining quickly good upper bounds on the minimal value of a multistage stochastic program. The method is based on the simulation of a feasible dec...
IFIP
2005
Springer
13 years 10 months ago
2005
Springer
In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spo...