Scenarios for multistage stochastic programs
From MaRDI portal
Publication:5933849
DOI10.1023/A:1019206915174zbMath1017.90068OpenAlexW1494277681MaRDI QIDQ5933849
Jitka Dupačová, Stein W. Wallace, Giorgio Consigli
Publication date: 14 June 2001
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1019206915174
importance samplingclusteringinference and boundsmatching momentsproblem oriented requirementsscenarios and scenario trees
Related Items
Genetic Algorithms for Scenario Generation in Stochastic Programming, Large-scale financial planning via a partially observable stochastic dual dynamic programming framework, On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach, Amsaa: A Multistep Anticipatory Algorithm for Online Stochastic Combinatorial Optimization, A Stochastic Integer Programming Approach to Air Traffic Scheduling and Operations, Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming, Optimization Methods in Finance, Option pricing by mathematical programming†, Unnamed Item, A heuristic procedure for stochastic integer programs with complete recourse, A multi-stage stochastic programming approach for production planning with uncertainty in the quality of raw materials and demand, A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem, Total variation bounds on the expectation of periodic functions with applications to recourse approximations, Optimal capacity allocation in multi-auction electricity markets under uncertainty, Medium range optimization of copper extraction planning under uncertainty in future copper prices, Downside risk in multiperiod tracking error models, Generating scenario trees: a parallel integrated simulation-optimization approach, A moment-matching method to generate arbitrage-free scenarios, A new elementary geometric approach to option pricing bounds in discrete time models, Forward thresholds for operation of pumped-storage stations in the real-time energy market, Perspectives of approximate dynamic programming, Scenario reduction for stochastic programs with conditional value-at-risk, An effective heuristic for multistage linear programming with a stochastic right-hand side, Scenario construction and reduction applied to stochastic power generation expansion planning, A stochastic programming approach for the optimal management of aggregated distributed energy resources, An interactive approach to stochastic programming-based portfolio optimization, A robust optimization model for multi-site production planning problem in an uncertain environment, A two-stage stochastic mixed-integer programming approach to the index tracking problem, Clustering algorithms for scenario tree generation: application to natural hydro inflows, A stochastic programming approach to multicriteria portfolio optimization, A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants, A stochastic programming model for the optimal issuance of government bonds, On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty, Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules, Scenario generation for stochastic optimization problems via the sparse grid method, Short-term electricity procurement: a rolling horizon stochastic programming approach, Scenario tree generation approaches using K-means and LP moment matching methods, Futures Market Trading for Electricity Producers and Retailers, An Optimization-Based Conjectured Response Approach to Medium-term Electricity Markets Simulation, Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management, Hedging Market and Credit Risk in Corporate Bond Portfolios, Dynamic Portfolio Management for Property and Casualty Insurance, Pricing Reinsurance Contracts, Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming, Tactical Portfolio Planning in the Natural Gas Supply Chain, Scenario Tree Generation for Multi-stage Stochastic Programs, Comparison of Sampling Methods for Dynamic Stochastic Programming, A mathematical model for identifying an optimal waste management policy under uncertainty, Vehicle Routing with Space- and Time-Correlated Stochastic Travel Times: Evaluating the Objective Function, Risk-averse two-stage stochastic programs in furniture plants, The design of robust value-creating supply chain networks, Computation of weighted sums of rewards for concurrent MDPs, Evaluation of insurance products with guarantee in incomplete markets, A dynamic stochastic programming model for international portfolio management, Supersparse linear integer models for optimized medical scoring systems, Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk, Modeling financial reinsurance in the casualty insurance business via stochastic programming, Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming, Short-term hydropower production planning by stochastic programming, Simulation and optimization approaches to scenario tree generation, Stochastic short-term hydropower planning with inflow scenario trees, Epi-convergent discretizations of multistage stochastic programs via integration quadratures, SDDP for multistage stochastic linear programs based on spectral risk measures, Financial scenario generation for stochastic multi-stage decision processes as facility location problems, A two-stage stochastic programming model for electric energy producers, A note on the minimum bounded edge-partition of a tree, An anytime multistep anticipatory algorithm for online stochastic combinatorial optimization, The decision rule approach to optimization under uncertainty: methodology and applications, Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems, No-arbitrage conditions, scenario trees, and multi-asset financial optimization, Solving ALM problems via sequential stochastic programming, Scenario tree reduction for multistage stochastic programs, Stochastic optimization models for a single-sink transportation problem, Designing a two-echelon distribution network under demand uncertainty, Multistage stochastic demand-side management for price-making major consumers of electricity in a co-optimized energy and reserve market, On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty, A multi-stage stochastic program for supply chain network redesign problem with price-dependent uncertain demands, A collaborative planning approach for intermodal freight transportation, Totally unimodular multistage stochastic programs, Horizon and stages in applications of stochastic programming in finance, A robust optimisation approach to the problem of supplier selection and allocation in outsourcing, Solution sensitivity-based scenario reduction for stochastic unit commitment, The natural hedge of a gas-fired power plant, A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania, Effective location models for sorting recyclables in public management, Multi-horizon stochastic programming, Scenario tree modeling for multistage stochastic programs, A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging, Scenario Reduction Techniques in Stochastic Programming, Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies, Global optimization of robust chance constrained problems, Stage-\(t\) scenario dominance for risk-averse multi-stage stochastic mixed-integer programs, Airline network revenue management by multistage stochastic programming, Sparse factor model based on trend filtering, Multi-period portfolio selection with investor views based on scenario tree, Dynamic hedging of basket options under proportional transaction costs using receding horizon control, A Learning-Based Matheuristic for Stochastic Multicommodity Network Design, Building a stochastic programming model from scratch: a harvesting management example, A parsimonious model for generating arbitrage-free scenario trees, Applications of stochastic programming: Achievements and questions, CORRELATIONS IN STOCHASTIC PROGRAMMING: A CASE FROM STOCHASTIC SERVICE NETWORK DESIGN, Path-dependent scenario trees for multistage stochastic programmes in finance, Dispatch planning using newsvendor dual problems and occupation times: application to hydropower, A copula-based heuristic for scenario generation, Multi-period forecasting and scenario generation with limited data, Special issue: topics in stochastic programming, Problem-based optimal scenario generation and reduction in stochastic programming, A stability result for linear Markovian stochastic optimization problems, Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk
