Logo of Humboldt-Universität zu BerlinLogo of Humboldt-Universität zu Berlin
edoc-Server
Open-Access-Publikationsserver der Humboldt-Universität
de|en
Header image: facade of Humboldt-Universität zu Berlin
Search 
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2004
  • Search
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2004
  • Search
JavaScript is disabled for your browser. Some features of this site may not work without it.
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
DDC
510 Mathematik (22)
All of edoc-ServerCommunity & CollectionTitleAuthorSubjectThis CollectionTitleAuthorSubject
PublishLoginRegisterHelp
DDC
510 Mathematik (22)
Search 
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2004
  • Search
  • edoc-Server Home
  • Elektronische Zeitschriften
  • Stochastic Programming E-print Series (SPEPS)
  • Volume 2004
  • Search

Search

Show Advanced FiltersHide Advanced Filters

Filter

Use filters to refine search results.

Now showing items 1-10 of 22

  • Sort by:
  • Relevance
  • Title ascending
  • Title descending
  • Issue date ascending
  • Issue date descending
  • Results per page:
  • 5
  • 10
  • 20
  • 40
  • 60
  • 80
  • 100
2004-09-13Buch
On deviation measures in stochastic integer programming 
Märkert, Andreas; Schultz, Rüdiger
We propose extensions of traditional expectation-based stochastic integer programs to mean-risk models. Risk is measured by expected deviations of suitable random variables from their means or from preselected targets. We ...
2004-05-17Buch
Assessing policy quality in multi-stage stochastic programming 
Chiralaksanakul, Anukal; Morton, David P.
Solving a multi-stage stochastic program with a large number of scenarios and a moderate-to-large number of stages can be computationally challenging. We develop two Monte Carlo-based methods that exploit special structures ...
2004-06-15Buch
Treasury management model with foreign exchange exposure 
Volosov, Konstantin; Mitra, Gautam; Spagnolo, Fabio; Lucas, Cormac
In this paper we formulate a model for foreign exchange exposure management and (international) cash management taking into consideration random fluctuations of exchange rates. A vector error correction model (VECM) is ...
2004-05-21Buch
Arbitrage pricing of American contingent claims in incomplete markets - a convex optimization approach 
Pennanen, Teemu; King, Alan J.
Convex optimization provides a natural framework for pricing and hedging financial instruments in incomplete market models. Duality theory of convex optimization has been shown to yield elementary proofs of well-known ...
2004-09-13Buch
Conditional value-at-risk in stochastic programs with mixed-integer recourse 
Schultz, Rüdiger; Tiedemann, Stephan
In classical two-stage stochastic programming the expected value of the total costs is minimized. Recently, mean-risk models -- studied in mathematical finance for several decades -- have attracted attention in stochastic ...
2004-05-17Buch
A stochastic programming approach to resource-constrained assignment problems 
Toktas, Berkin; Yen, Joyce W.; Zabinsky, Zelda B.
We address the resource-constrained generalizations of the assignment problem with uncertain resource capacities, where the resource capacities have an unknown distribution that can be sampled. We propose three stochastic ...
2004-04-20Buch
Decomposition-based interior point methods for two-stage stochastic convex quadratic programs with recourse 
Mehrotra, Sanjay; Ozevin, M. Gokhan
Zhao [28] recently showed that the log barrier associated with the recourse function of two-stage stochastic linear programs behaves as a strongly self-concordant barrier and forms a self concordant family on the first ...
2004-04-16Buch
Mean-risk objectives in stochastic programming 
Ahmed, Shabbir
Traditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing risk in decision making problems is to consider a ...
2004-06-05Buch
Polyhedral inclusion-exclusion 
Bukszar, Jozsef; Henrion, René; Hujter, Mihaly; Szantai, Tamas
Motivated by numerical computations to solve probabilistic constrained stochastic programming problems, we derive a new identity claiming that many terms are cancelled out in the inclusion-exclusion formula expressing the ...
2004-02-10Buch
Epi-convergent discretizations of multistage stochastic programs 
Pennanen, Teemu
In many dynamic stochastic optimization problems in practice, the uncertain factors are best modeled as random variables with an infinite support. This results in infinite-dimensional optimization problems that can rarely ...
  • 1
  • 2
  • 3
DINI-Zertifikat 2019OpenAIRE validatedORCID Consortium
Imprint Policy Contact Data Privacy Statement
A service of University Library and Computer and Media Service
© Humboldt-Universität zu Berlin