Sciweavers

INFORMATICALT
2010
103views more  INFORMATICALT 2010»
13 years 4 months ago
Multistage K-Means Clustering for Scenario Tree Construction
Abstract. In stochastic programming and decision analysis, an important issue consists in the approximate representation of the multidimensional stochastic underlying process in th...
Kristina Sutiene, Dalius Makackas, Henrikas Pranev...
ORL
2008
60views more  ORL 2008»
13 years 10 months ago
Lot-sizing on a tree
For the problem of lot-sizing on a tree with constant capacities, or stochastic lot-sizing with a scenario tree, we present various reformulations based on mixing sets. We also sh...
Marco Di Summa, Laurence A. Wolsey
31
Voted
EOR
2008
70views more  EOR 2008»
13 years 10 months ago
Robust portfolio selection based on a multi-stage scenario tree
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. ...
Ruijun Shen, Shuzhong Zhang
EOR
2008
200views more  EOR 2008»
13 years 10 months ago
A dynamic stochastic programming model for international portfolio management
We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms...
Nikolas Topaloglou, Hercules Vladimirou, Stavros A...
WCE
2007
13 years 11 months ago
Scenario Generation Employing Copulas
—Multistage stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on scenario generation model about future...
Kristina Sutiene, Henrikas Pranevicius