Optimisation of stochastic programming by hidden Markov modelling based scenario generation

DOI10.1504/IJMOR.2010.033439zbMath1195.90069arXiv0904.1131MaRDI QIDQ991873

Sovan Mitra, Tong Ji

Publication date: 8 September 2010

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.1131

zbMATH Keywords

stochastic programmingrobustness analysismodellingjumpsGaussian mixtureMarkov processeskurtosisoptimisationskewnessautoregressionrisk managementrisk assessmentfinancial mathematicsscenario generationscenario analysisFTSE-100time-varying dynamics

Mathematics Subject Classification ID

Stochastic programming (90C15)

Uses Software

• EVPI
• hmm

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