We study the quantitative stability of linear multistage stochastic programs under perturbations of the underlying stochastic processes. It is shown that the optimal values behave...
It is well known that a crucial property for the effective identification of time-varying systems is that the data carry continual information on the parameters to be estimated. As...
In this paper we study a Monte Carlo simulation based approach to stochastic discrete optimization problems. The basic idea of such methods is that a random sample is generated and...
Anton J. Kleywegt, Alexander Shapiro, Tito Homem-d...
We study optimal control problems for general unstructured nonlinear differential-algebraic equations of arbitrary index. In particular, we derive necessary conditions in the case ...
The main goal of this paper is to develop a numerical procedure for construction of covariance matrices such that for a given covariance structural model and a discrepancy function...