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Solving multistage stochastic networks: An application of scenario aggregation
16 references·8 citing·33 second hop
Solving multistage stochastic networks: An application of scenario aggregation (1991)Solving multistage stochastic networks: A…Theory of games and economic behavior (2019)Theory of games and economic …Stochastic Network Programming for Financial Planning Problems (1992)Stochastic Network Programmin…Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Scenarios and Policy Aggregat…Applying the progressive hedging algorithm to stochastic generalized networks (1991)Applying the progressive hedg…The Aggregation Principle in Scenario Analysis and Stochastic Optimization (1989)The Aggregation Principle in …Stochastic network optimization models for investment planning (1989)Stochastic network optimizati…Impacts of recent computer advances on operations research (1989)Impacts of recent computer ad…On stochastic programming ii: dynamic problems under risk ∗ (1988)On stochastic programming ii:…Numerical Techniques for Stochastic Optimization (1988)Numerical Techniques for Stoc…A Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Decomposition and Partitionin…Solving stochastic programs with simple recourse (1983)Solving stochastic programs w…The value of the stochastic solution in stochastic linear programs with fixed recourse (1982)The value of the stochastic s…Short Term Financial Planning under Uncertainty (1982)Short Term Financial Planning…A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem (1980)A Solution Method for Multist…Theory of Games and Economic Behavior (1946)Theory of Games and Economic …Scenario aggregation for supply chain quantity-flexibility contract (2012)Scenario aggregation for supp…Solving multistage stochastic network programs on massively parallel computers (1996)Solving multistage stochastic…Multistage stochastic programs: The state-of-the-art and selected bibliography (1995)Multistage stochastic program…Multistage Stochastic Programming: Error Analysis for the Convex Case (1994)Multistage Stochastic Program…Application of the scenario aggregation approach to a two-stage, stochastic, common component, inventory problem with a budget constraint (1993)Application of the scenario a…A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems (1993)A Massively Parallel Algorith…Extended scenario analysis (1991)Extended scenario analysisCommentary (1990)CommentaryPortfolio 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)Formulating Two-Stage Stochastic Programs for Interior Point Methods (1991)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Asset/liability management under uncertainty for fixed-income securities (1995)Linear Programming under Uncertainty (1955)Applied Statistical Decision Theory (1962)Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse (1986)An Introductory Tutorial on Stochastic Linear Programming Models (1999)Linear Programming Under Uncertainty (2004)Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse (1991)Stochastic Programming Models (2003)Stochastic Linear Programming (2010)Portfolio Selection: Efficient Diversification of Investments. (1962)Stochastic dual dynamic integer programming (2018)Dual decomposition in stochastic integer programming (1999)Scenarios for Multistage Stochastic Programs (2000)Optimization under uncertainty: state-of-the-art and opportunities (2003)Planning under uncertainty solving large-scale stochastic linear programs (1992)Barycentric scenario trees in convex multistage stochastic programming (1996)Strategic financial risk management and operations research (1997)Cardinal Welfare, Individualistic Ethics, and Interpersonal Comparisons of Utility (1980)Development of prosocial, individualistic, and competitive orientations: Theory and preliminary evidence. (1997)Political Choice in Britain (2004)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)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)
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References

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  • 1991Scenarios and Policy Aggregation in Optimization Under Uncertainty1,341 cited
  • 1988Numerical Techniques for Stochastic Optimization632 cited
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74 cited
  • 1988On stochastic programming ii: dynamic problems under risk ∗73 cited
  • Cited by

    • 1993A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems67 cited
    • 1995Multistage stochastic programs: The state-of-the-art and selected bibliography64 cited
    • 1994Multistage Stochastic Programming: Error Analysis for the Convex Case31 cited
    • 1993Application of the scenario aggregation approach to a two-stage, stochastic, common component, inventory problem with a budget constraint30 cited
    • 1996Solving multistage stochastic network programs on massively parallel computers29 cited
    • 1991Extended scenario analysis28 cited
    • 2012Scenario aggregation for supply chain quantity-flexibility contract11 cited
    • 1990Commentary0 cited