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A gaussian upper bound for gaussian multi-stage stochastic linear programs
Mathematical Programming
◽
10.1007/bf02614515
◽
1997
◽
Vol 77
(3)
◽
pp. 1-21
◽
Cited By ~ 1
Author(s):
Eithan Schweitzer
◽
Mordecai Avriel
Keyword(s):
Upper Bound
◽
Linear Programs
◽
Multi Stage
◽
Stochastic Linear Programs
Download Full-text
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Cited By
References
Multi-stage stochastic linear programs for portfolio optimization
Annals of Operations Research
◽
10.1007/bf02282041
◽
1993
◽
Vol 45
(1)
◽
pp. 59-76
◽
Cited By ~ 126
Author(s):
George B. Dantzig
◽
Gerd Infanger
Keyword(s):
Portfolio Optimization
◽
Linear Programs
◽
Multi Stage
◽
Stochastic Linear Programs
Download Full-text
Decomposition and (importance) sampling techniques for multi-stage stochastic linear programs
10.2172/10128562
◽
1993
◽
Cited By ~ 1
Author(s):
G. Infanger
Keyword(s):
Importance Sampling
◽
Sampling Techniques
◽
Linear Programs
◽
Multi Stage
◽
Importance Sampling Techniques
◽
Stochastic Linear Programs
Download Full-text
Multi-Stage Stochastic Linear Programs for Portfolio Optimization
10.21236/ada242510
◽
1991
◽
Cited By ~ 2
Author(s):
George B. Dantzig
◽
Gerd Infanger
Keyword(s):
Portfolio Optimization
◽
Linear Programs
◽
Multi Stage
◽
Stochastic Linear Programs
Download Full-text
A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs
SIAM Journal on Control and Optimization
◽
10.1137/0326042
◽
1988
◽
Vol 26
(3)
◽
pp. 725-739
◽
Cited By ~ 32
Author(s):
John R. Birge
◽
Stein W. Wallace
Keyword(s):
Upper Bound
◽
Piecewise Linear
◽
Linear Programs
◽
Stochastic Linear Programs
Download Full-text
An L-Shaped Method Computer Code for Multi-Stage Stochastic Linear Programs
Springer Series in Computational Mathematics - Numerical Techniques for Stochastic Optimization
◽
10.1007/978-3-642-61370-8_12
◽
1988
◽
pp. 255-266
◽
Cited By ~ 12
Author(s):
J. R. Birge
Keyword(s):
Computer Code
◽
Linear Programs
◽
Multi Stage
◽
Stochastic Linear Programs
Download Full-text
Multi-Stage Stochastic Linear Programs for Portfolio Optimization
10.21236/ada242308
◽
1991
◽
Cited By ~ 3
Author(s):
George B. Dantzig
◽
Gerd Infanger
Keyword(s):
Portfolio Optimization
◽
Linear Programs
◽
Multi Stage
◽
Stochastic Linear Programs
Download Full-text
A new approach to multi-stage stochastic linear programs
Mathematical Programming Studies - Stochastic Systems: Modeling, Identification and Optimization, II
◽
10.1007/bfb0120742
◽
1976
◽
pp. 19-29
◽
Cited By ~ 3
Author(s):
Richard C. Grinold
Keyword(s):
Linear Programs
◽
New Approach
◽
Multi Stage
◽
Stochastic Linear Programs
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On interior-point based retrospective approximation methods for solving two-stage stochastic linear programs
Proceedings of the 2011 Winter Simulation Conference (WSC)
◽
10.1109/wsc.2011.6148104
◽
2011
◽
Cited By ~ 1
Author(s):
Soumyadip Ghosh
◽
Raghu Pasupathy
Keyword(s):
Interior Point
◽
Approximation Methods
◽
Linear Programs
◽
Two Stage
◽
Stochastic Linear Programs
Download Full-text
Existence of Solutions for a Class of Bilevel Stochastic Linear Programs
European Journal of Operational Research
◽
10.1016/j.ejor.2021.12.004
◽
2021
◽
Author(s):
Matthias Claus
Keyword(s):
Existence Of Solutions
◽
Linear Programs
◽
Stochastic Linear Programs
Download Full-text
Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs
SIAM Journal on Optimization
◽
10.1137/19m1244469
◽
2021
◽
Vol 31
(1)
◽
pp. 1017-1048
Author(s):
Raghu Pasupathy
◽
Yongjia Song
Keyword(s):
Sample Average Approximation
◽
Linear Programs
◽
Two Stage
◽
Sequential Sample
◽
Sample Average
◽
Stochastic Linear Programs
◽
Average Approximation
Download Full-text
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