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Multistage Stochastic Programming via Autoregressive Sequences
[Autoregresní posloupnosti v úlohách vícestupňového stochastického programování]

Author

Listed:
  • Vlasta Kaňková

Abstract

Economic activities developing over time are very often influenced simultaneously by a random factor (modeled mostly by a stochastic process) and a "decision" parameter (that has to be chosen according to economic possibilities). Theory of multistage stochastic programming, controlled Markov processes as well as empirical processes can be employed to treat the economic processes. We focus on the multistage stochastic problems with the individual probability constraints and random element following an autoregressive (generally) nonlinear sequence.

Suggested Citation

  • Vlasta Kaňková, 2007. "Multistage Stochastic Programming via Autoregressive Sequences [Autoregresní posloupnosti v úlohách vícestupňového stochastického programování]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2007(4), pages 99-110.
    • Handle: RePEc:prg:jnlaop:v:2007:y:2007:i:4:id:79:p:99-110
    DOI: 10.18267/j.aop.79
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    References listed on IDEAS

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    1. Karl Frauendorfer & Michael Schürle, 2000. "Term Structure Models in Multistage Stochastic Programming: Estimation and Approximation," Annals of Operations Research, Springer, vol. 100(1), pages 189-209, December.
    2. Matthias Nowak & Werner Römisch, 2000. "Stochastic Lagrangian Relaxation Applied to Power Scheduling in a Hydro-Thermal System under Uncertainty," Annals of Operations Research, Springer, vol. 100(1), pages 251-272, December.
    3. Werner Römisch & Rüdiger Schultz, 1993. "Stability of Solutions for Stochastic Programs with Complete Recourse," Mathematics of Operations Research, INFORMS, vol. 18(3), pages 590-609, August.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    economic processes; multistage stochastic programming; autoregressive sequences; individual probability constraints;
    All these keywords.

    JEL classification:

    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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