Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
type: Item
instance of: scholarly article
title: Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs
zbMATH Open document ID: 1258.90054
author: Yanyan Li
published in: Operations Research Letters
publication date: 2013-03-05T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C05
zbMATH DE Number: 6141227
zbMATH Keywords: stochastic processes
zbMATH Keywords: generalized autoregressive models
zbMATH Keywords: risk-averse optimization
MaRDI profile type: Publication
full work available at URL: j.orl.2012.09.001
OpenAlex ID: W1997909702
cites work: The value of rolling-horizon policies for risk-averse hydro-thermal planning
cites work: Q4840212
cites work: Q3126752
cites work: On a time consistency concept in risk averse multistage stochastic programming
cites work: On joint probabilistic constraints with Gaussian coefficient matrix
DOI: 10.1016/J.ORL.2012.09.001
description: scientific article; zbMATH DE number 6141227