Extended scenario analysis

DOI10.1007/BF02204859zbMath0739.90049OpenAlexW2063030016MaRDI QIDQ1176855

Stephen M. Robinson

Publication date: 25 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02204859

zbMATH Keywords

portfolio optimizationprogressive hedging algorithmscenario analysisnonseparable convex constraints

Mathematics Subject Classification ID

Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items

On the use of optimization models for portfolio selection: A review and some computational results ⋮ Scenario analysis via bundle decomposition ⋮ Barycentric scenario trees in convex multistage stochastic programming ⋮ Multistage stochastic programming: Error analysis for the convex case ⋮ A splitting method for stochastic programs

Cites Work

• Partial inverse of a monotone operator
• Stochastic network optimization models for investment planning
• Solving multistage stochastic networks: An application of scenario aggregation
• Monotone Operators and the Proximal Point Algorithm
• Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming
• Convex Analysis