Volume 2003: Neuzugänge
Anzeige der Publikationen 21-25 von 25
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2003-03-13BuchCalibrated option bounds This paper proposes a numerical approach for computing bounds for the arbitrage-free prices of an option when some options are available for trading. Convex duality reveals a close relationship with recently proposed ...
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2003-03-06BuchHölder and Lipschitz Stability of Solution Sets in Programs with Probabilistic Constraints We study perturbations of a stochastic program with a probabilistic constraint and $r$-concave original probability distribution. First we improve our earlier results substantially and provide conditions implying Hölder ...
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2003-02-10BuchPerturbation ananlysis of chance-constrained programs under variation of all constraint data A fairly general shape of chance constraint programs is\[(P) min \{ g(x) | x \in X, \mu (H(x)) \le p \} ,\]where $g : \R^m \to \R$ is a continuous objective function, $X \subseteq \R^m$ is a closed subset of deterministic ...
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2003-01-09BuchA stochastic programming approach to power portfolio optimization The DASH model for Power Portfolio Optimization provides a tool which helps decision-makers coordinate production decisions with opportunities in the wholesale power market. The methodology is based on a stochastic programming ...
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2002-12-19BuchA stochastic program for optimizing military sealift subject to attack We describe a stochastic program for planning the wartime, sealift deployment of military cargo subject to attack. The cargo moves on ships from US or allied seaports of embarkation through seaports of debarkation (SPODs) ...