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Preface
(1995)
Stochastic Network Programming for Financial Planning Problems
(1992)
Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading ...
Solving multistage stochastic networks: An application of scenario aggregation
(1991)
The scenario aggregation algorithm is specialized for stochastic networks. The algorithm determines a solution that does not depend on hindsight and accounts for the uncertain environment depicted by a number of appropriately ...
Applying the progressive hedging algorithm to stochastic generalized networks
(1991)
The introduction of uncertainty to mathematical programs greatly increases the size of the resulting optimization problems. Specialized methods that exploit program structures and advances in computer technology promise ...
Stochastic linear programs with restricted recourse
(1997)
Stochastic programs with recourse provide an effective modeling paradigm for sequential decision problems with uncertain or noisy data, when uncertainty can be modeled by a discrete set of scenarios. In two-stage problems ...
Computational assessment of distributed decomposition methods for stochastic linear programs
(1998)
Incorporating uncertainty in optimization models gives rise to large, structured mathematical programs. Decomposition procedures are well-suited for parallelization, thus providing a promising venue for solving large ...
Stochastic programming and robust optimization
(Kluwer Academic Publishers, 1997)
Parallel Algorithms for Large-scale Stochastic Programming
(Kluwer Academic Publishers, 1997)