604 search results - page 23 / 121 » Stochastic Offline Programming |
ICCS
2004
Springer
15 years 4 months ago
2004
Springer
In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible express...
JGO
2008
14 years 11 months ago
2008
Two-stage stochastic mixed-integer programming (SMIP) problems with recourse are generally difficult to solve. This paper presents a first computational study of a disjunctive cut...
101
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ORL
2008
14 years 11 months ago
2008
We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio s...
IOR
2010
14 years 9 months ago
2010
This paper introduces disjunctive decomposition for two-stage mixed 0-1 stochastic integer programs (SIPs) with random recourse. Disjunctive decomposition allows for cutting plane...
106
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IOR
2011
14 years 6 months ago
2011
We formulate a risk-averse two-stage stochastic linear programming problem in which unresolved uncertainty remains after the second stage. The objective function is formulated as ...