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ChapterStochastic Programming Models

Andrzej Ruszczyński2003

Chapter2003

Stochastic Programming Models

Andrzej Ruszczyński · Alexander Shapiro

453 citations·0/0 files stored·Handbooks in operations research and management science

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Optimization and Mathematical Programming

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References

1952PORTFOLIO SELECTION*2011Introduction to Stochastic Programming 1995Robust Optimization of Large-Scale Systems 1998Introduction to Stochastic Programming 1995Stochastic Programming 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1955Linear Programming under Uncertainty 2004Linear Programming Under Uncertainty

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2005Ambiguous chance constrained problems and robust optimization 2014A Guide to Sample Average Approximation 2014Hybrid simulation–optimization methods: A taxonomy and discussion 2007Stochastic programming approach to optimization under uncertainty 2003Stability of Stochastic Programming Problems 2005Convexity and decomposition of mean-risk stochastic programs 2006Financial scenario generation for stochastic multi-stage decision processes as facility location problems

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Year2003

Typechapter

Published2003-01-01

VenueHandbooks in operations research and management science

ISSN-L0927-0507

Languageen

Citations453

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0927-0507(03)10001-1

openalex_workW1579824288

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