Test problems in stochastic multistage programming

DOI10.1080/02331930008844481zbMath0963.90044OpenAlexW1983656858MaRDI QIDQ4484946

Karl Frauendorfer, Gido Haarbrücker

Publication date: 5 June 2000

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://www.alexandria.unisg.ch/7089/1/Frauendorfer_Haarbr%C3%BCcker_TestProblemsInStochasticMultistageProgramming.pdf

zbMATH Keywords

interest rate modelsbarycentric approximationmultistage stochastic linear programsfixed-income securities management

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Related Items (1)

Testing the structure of multistage stochastic programs

Uses Software

• MSLiP
• EVPI

Cites Work

• MSLiP: A computer code for the multistage stochastic linear programming problem
• Partitioning procedures for solving mixed-variables programming problems
• Parallel decomposition of multistage stochastic programming problems
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• An equilibrium characterization of the term structure
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

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