Multistage stochastic programs: The state-of-the-art and selected bibliography

Jitka Dupačová

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Risk and Portfolio Optimization Advanced Control Systems Optimization Advanced Optimization Algorithms Research

Abstract

JITKA DUPAČOVÁThe paper gives a brief introduction into the problems of multistage stochastic program ming with emphasis on the modeling issues (Section 2) and on the contemporary numerical advances (Section 3).Extensive classified bibliography is contained in the last Section.

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References

1959Chance-Constrained Programming 2010Stochastic Programming 1991Scenarios and Policy Aggregation in Optimization Under Uncertainty 2004Linear Programming Under Uncertainty 1966Nonlinear and Dynamic Programming 2010Stochastic Linear Programming 1985Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming

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1999EVPI‐based importance sampling solution proceduresfor multistage stochastic linear programmeson parallel MIMD architectures 1998Dynamic Stochastic Programming for Asset-Liability Management 1999Portfolio optimization via stochastic programming: Methods of output analysis

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