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InstitutionMathematisch-Naturwissenschaftliche Fakultät (2)DDC
510 Mathematik (234)
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InstitutionMathematisch-Naturwissenschaftliche Fakultät (2)DDC
510 Mathematik (234)
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  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
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  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
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1999-09-20Buch
Creating Synthetic Option Strategies for Asset Allocation with Transaction Costs Using Multi-Period Stochastic Programming 
Zhao, Yonggan; Ziemba, William T.
We discuss a new approach to asset allocation with transaction costs. A multi-period stochastic linear programming model is developed where the risk is based on the worst case payoff which is endogenously determined by the ...
2000-01-20Buch
Power management in a hydro-thermal system under uncertainty by Lagrangian relaxation 
Gröwe-Kuska, Nicole; Kiwiel, Krzysztof C.; Nowak, Matthias Peter; Römisch, Werner; Wegner, Isabel
We present a dynamic multistage stochastic programming model for the cost-optimal generation of electric power in a hydro-thermal system under uncertainty in load, inflow to reservoirs and prices for fuel and delivery ...
2000-01-31Buch
Variable-sample methods and simulated annealing for discrete stochastic optimization 
(revised version)
Homem-de-Mello, Tito
In this paper we study a modifcation of the well-known simulated annealing method, adapting it to discrete stochastic optimization problems. Our algorithm is based on a variable-sample Monte Carlo technique, in which the ...
2000-02-16Buch
Finite capacity production planning with random demand and limited information 
Albritton, Michael; Shapiro, Alexander; Spearman, Mark
Production planning has a fundamental role in any manufacturing operation. The problem is to decide what type of, and how much, product should be produced in future time periods. The decisions should be based on many ...
2000-03-27Buch
Robust path choice in networks with failures 
Ferris, Michael C.; Ruszczynski, Andrzej
The problem of adaptive routing in a network with failures is considered. The network may be in one of finitely many states characterized by different travel times along the arcs, and transitions between the states occur ...
2000-04-07Buch
Confidence level solutions for stochastic programming 
Nesterov, Yu.; Vial, J.-Ph.
We propose an alternative approach to stochastic programming based on Monte-Carlo sampling and stochastic gradient optimization. The procedure is by essence probabilistic and the computed solution is a random variable. The ...
2000-02-07Buch
Random lsc functions 
An ergodic theorem
Korf, Lisa A.; Wets, Roger J.-B.
An ergodic theorem for random lsc functions is obtained by relying on a (novel) 'scalarization' of such functions. In the process, Kolmogorov's extension theorem for randon lsc functions is established. Applications to ...
2000-04-01Buch
The performance of stochastic dynamic and fixed mix portfolio models 
Fleten, Stein-Erik; Høyland, Kjetil; Stein, W.
The purpose of this paper is to demonstrate how to evaluate stochastic programming models, and more specifically to compare two different approaches to asset liability management. The first uses multistage stochastic ...
2000-04-13Buch
Time to wealth goals in capital accumulation 
MacLean, Leonard C.; Ziemba, William T.; Li, Yuming
This paper considers the problem of continuous investment of capital in risky assets over time. Using a Bayesian framework, a model for asset prices is developed where the current price dynamics depend on the history of ...
2000-03-21Buch
Random lsc functions 
Scalarization
Korf, Lisa A.; Wets, Roger J.-B.
Random lsc (lower semicontinuous) functions can be indentified with a vector-valued random variable by means of an appropriate scalarization. It is shown that stationarity, ergodicity and independence properties are preserved ...
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