Formulation and solution strategies for nonparametric nonlinear stochastic programmes with an application in finance

DOI10.1080/02331931003700707zbMath1202.90202OpenAlexW1995381908WikidataQ58185737 ScholiaQ58185737MaRDI QIDQ3577836

Fabian Bastin, Cinzia Cirillo, Phillipe L. Toint

Publication date: 26 July 2010

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331931003700707

zbMATH Keywords

nonparametric estimationdiscrete choicesample average approximationFX market

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (1)

Quantitative stability of fully random two-stage stochastic programs with mixed-integer recourse

Cites Work

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• Discrete Choice Methods with Simulation
• Estimating density functions: a constrained maximum likelihood approach^*
• Trust Region Methods
• Close-Point Spatial Tests and Their Application to Random Number Generators

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