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ArticleTree approximation for discrete time stochastic processes: a process distance approach

Raimund M. Kovacevic2015

Article2015

Tree approximation for discrete time stochastic processes: a process distance approach

Raimund M. Kovacevic · Alois Pichler

34 citations·0/0 files stored·Annals of Operations Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Advanced Optimization Algorithms Research

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References

2001Facility location : applications and theory 2003Scenario reduction in stochastic programming 2003Scenario Reduction Algorithms in Stochastic Programming 2001Generating Scenario Trees for Multistage Decision Problems 2002Facility Location 2007Modeling, Measuring and Managing Risk 2006On Complexity of Stochastic Programming Problems 2007Scenario tree modeling for multistage stochastic programs

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2017Scenario tree reduction methods through clustering nodes

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Year2015

Typearticle

Published2015-09-07

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations34

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s10479-015-1994-2

openalex_workW1478699982

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