23 search results - page 1 / 5 » Scenario Reduction Techniques in Stochastic Programming |
SAGA
2009
Springer
14 years 3 months ago
2009
Springer
Stochastic programming problems appear as mathematical models for optimization problems under stochastic uncertainty. Most computational approaches for solving such models are base...
ORL
2007
13 years 8 months ago
2007
We extend earlier work on scenario reduction by relying directly on Fortet–Mourier metrics instead of using upper bounds given in terms of mass transportation problems. The impo...
WCE
2007
13 years 10 months ago
2007
—Multistage stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on scenario generation model about future...
ATAL
2004
Springer
14 years 22 days ago
2004
Springer
We have developed a set of tools to allow the use of model-checking techniques for the verification of systems directly implemented in an agent-oriented programming language. The ...
EOR
2008
13 years 9 months ago
2008
The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. ...