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Evpi-Based Importance Sampling Solution Procedures for Multistage Stochastic Linear Programmes on Parallel Mimd Architectures
13 references·4 citing·34 second hop
Evpi-Based Importance Sampling Solution Procedures for Multistage Stochastic Linear Programmes on Parallel Mimd Architectures (1997)Evpi-Based Importance Sampling Solution P…Stochastic Programming (2010)Stochastic ProgrammingJarvis, Dr John Herbert, (born 16 May 1947), Senior Vice President Advisor, John Wiley & Sons Inc., 2007–09 (Senior Vice President, John Wiley and Sons - Europe, 1997–2007) (2007)Jarvis, Dr John Herbert, (bor…Dynamic Stochastic Programming for Asset-Liability Management (1998)Dynamic Stochastic Programmin…Robust optimization models for managing callable bond portfolios (1996)Robust optimization models fo…Multistage stochastic programs: The state-of-the-art and selected bibliography (1995)Multistage stochastic program…The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)The Russell-Yasuda Kasai Mode…Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition (1993)Stochastic Dedication: Design…Production planning via scenario modelling (1993)Production planning via scena…Stochastic Network Programming for Financial Planning Problems (1992)Stochastic Network Programmin…Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Scenarios and Policy Aggregat…On stochastic programming ii: dynamic problems under risk ∗ (1988)On stochastic programming ii:…Numerical Techniques for Stochastic Optimization (1988)Numerical Techniques for Stoc…Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Decomposition and Partitionin…Investment and the dynamic cost of income uncertainty: The case of diminishing expectations in agriculture (2007)Investment and the dynamic co…Aggregation and discretization in multistage stochastic programming (2006)Aggregation and discretizatio…Measuring Risk for Income Streams (2005)Measuring Risk for Income Str…Modelling and analysis of multistage stochastic programming problems: A software environment (1997)Modelling and analysis of mul…Portfolio Selection: Efficient Diversification of Investments (1959)Modern Portfolio Theory and Investment Analysis. (1982)THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Scenario generation and stochastic programming models for asset liability management (2001)Controlled Stochastic Processes (1979)Solving multistage stochastic networks: An application of scenario aggregation (1991)Stochastic Programming (1995)EVPI‐based importance sampling solution proceduresfor multistage stochastic linear programmeson parallel MIMD architectures (1999)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Planning under uncertainty solving large-scale stochastic linear programs (1992)Dynamic models for fixed-income portfolio management under uncertainty (1998)Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis (1998)Lot Sizes, Lead Times and In-Process Inventories (1987)Computational solution of capacity planning models under uncertainty (2000)Stochastic resource-constrained project scheduling (2001)Robust optimization for fleet planning under uncertainty (2003)Portfolio Selection: Efficient Diversification of Investments. (1960)Optimization Methods in Finance (2006)Stochastic dual dynamic integer programming (2018)Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Stochastic Programming Models (2003)Linear Programming Under Uncertainty (2004)Stochastic Linear Programming (2010)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Lectures on Stochastic Programming: Modeling and Theory (2009)Dual decomposition in stochastic integer programming (1999)Scenarios for Multistage Stochastic Programs (2000)Optimization under uncertainty: state-of-the-art and opportunities (2003)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The empirical behavior of sampling methods for stochastic programming (2006)A unified framework for stochastic optimization (2018)Portfolio optimization via stochastic programming: Methods of output analysis (1999)
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  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
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  • 1993Production planning via scenario modelling170 cited
  • 1993Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition91 cited
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  • 2007Jarvis, Dr John Herbert, (born 16 May 1947), Senior Vice President Advisor, John Wiley & Sons Inc., 2007–09 (Senior Vice President, John Wiley and Sons - Europe, 1997–2007)40 cited

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  • 2006Aggregation and discretization in multistage stochastic programming

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35 cited
  • 2005Measuring Risk for Income Streams33 cited
  • 1997Modelling and analysis of multistage stochastic programming problems: A software environment29 cited
  • 2007Investment and the dynamic cost of income uncertainty: The case of diminishing expectations in agriculture22 cited