Browsing Preprints aus dem Institut für Mathematik by Author "Dupacová, Jitka"

Now showing items 1-2 of 2

2005-11-11Buch

Qantitative stability for scenario-based stochastic programs

Dupacová, Jitka; Römisch, Werner

General quantitative stability results for stochastic programs are formulated in terms of probability metrics, specified to scenario-based stochastic programs and applied to a bond portfolio managemant problem.
2005-11-07Buch

Scenario Reduction in Stochastic Programming

An Approach Using Probability Metrics

Dupacová, Jitka; Gröwe-Kuska, Nicole; Römisch, Werner

Given a convex stochastic programming problem with a discrete initial probability distribution, the problem of optimal scenario reduction is stated as follows: Determine a scenario subset of prescribed cardinality and a ...