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EUSFLAT
2009
14 years 7 months ago
2009
This paper uses a constraint set approach to linear programming problems with equality constraints whose coefficients and/or right-hand side values could be uncertain. We consider ...
IJCAI
2003
14 years 11 months ago
2003
To model combinatorial decision problems involving uncertainty and probability, we extend the stochastic constraint programming framework proposed in [Walsh, 2002] along a number ...
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ISIPTA
2005
IEEE
15 years 3 months ago
2005
IEEE
This paper addresses the problem of market risk management for a company in the electricity industry. When dealing with corporate volumetric exposure, there is a need for a method...
CCE
2008
14 years 9 months ago
2008
Uncertainty is a very important concern in production scheduling since it can cause infeasibilities and production disturbances. Thus scheduling under uncertainty has received a l...
WSC
2007
14 years 11 months ago
2007
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...