Now showing items 1-10 of 234
Creating Synthetic Option Strategies for Asset Allocation with Transaction Costs Using Multi-Period Stochastic Programming
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 ...
Power management in a hydro-thermal system under uncertainty by Lagrangian relaxation
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 ...
Variable-sample methods and simulated annealing for discrete stochastic optimization
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 ...
Finite capacity production planning with random demand and limited information
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 ...
The performance of stochastic dynamic and fixed mix portfolio models
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 ...