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Scenarios for Multistage Stochastic Programs

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Cited by:

  1. Gómez-Pérez, Jesús D. & Latorre-Canteli, Jesus M. & Ramos, Andres & Perea, Alejandro & Sanz, Pablo & Hernández, Francisco, 2024. "Improving operating policies in stochastic optimization: An application to the medium-term hydrothermal scheduling problem," Applied Energy, Elsevier, vol. 359(C).
  2. Liu, Pei-chen Barry & Hansen, Mark & Mukherjee, Avijit, 2008. "Scenario-based air traffic flow management: From theory to practice," Transportation Research Part B: Methodological, Elsevier, vol. 42(7-8), pages 685-702, August.
  3. Morales, J.M. & Mínguez, R. & Conejo, A.J., 2010. "A methodology to generate statistically dependent wind speed scenarios," Applied Energy, Elsevier, vol. 87(3), pages 843-855, March.
  4. Flåm, Sjur, 2007. "Option Pricing by Mathematical Programming," Working Papers 2007:10, Lund University, Department of Economics.
  5. Diana Barro & Elio Canestrelli, 2014. "Downside risk in multiperiod tracking error models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 263-283, June.
  6. Gulpinar, Nalan & Rustem, Berc & Settergren, Reuben, 2004. "Simulation and optimization approaches to scenario tree generation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1291-1315, April.
  7. Fatemeh Sarayloo & Teodor Gabriel Crainic & Walter Rei, 2021. "A Learning-Based Matheuristic for Stochastic Multicommodity Network Design," INFORMS Journal on Computing, INFORMS, vol. 33(2), pages 643-656, May.
  8. Alipour, Manijeh & Mohammadi-Ivatloo, Behnam & Zare, Kazem, 2014. "Stochastic risk-constrained short-term scheduling of industrial cogeneration systems in the presence of demand response programs," Applied Energy, Elsevier, vol. 136(C), pages 393-404.
  9. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "A dynamic stochastic programming model for international portfolio management," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1501-1524, March.
  10. Michal Kaut & Stein Wallace, 2011. "Shape-based scenario generation using copulas," Computational Management Science, Springer, vol. 8(1), pages 181-199, April.
  11. Staino, Alessandro & Russo, Emilio, 2015. "A moment-matching method to generate arbitrage-free scenarios," European Journal of Operational Research, Elsevier, vol. 246(2), pages 619-630.
  12. Faezeh Akhavizadegan & Lizhi Wang & James McCalley, 2020. "Scenario Selection for Iterative Stochastic Transmission Expansion Planning," Energies, MDPI, vol. 13(5), pages 1-18, March.
  13. Pishchulov, Grigory & Richter, Knut, 2009. "Inventory rationing and sharing in pre-sell distribution with mobile communication technologies," International Journal of Production Economics, Elsevier, vol. 121(2), pages 584-600, October.
  14. Gah-Yi Ban & Jérémie Gallien & Adam J. Mersereau, 2019. "Dynamic Procurement of New Products with Covariate Information: The Residual Tree Method," Manufacturing & Service Operations Management, INFORMS, vol. 21(4), pages 798-815, October.
  15. Ghorbani, Milad & Nourelfath, Mustapha & Gendreau, Michel, 2022. "A two-stage stochastic programming model for selective maintenance optimization," Reliability Engineering and System Safety, Elsevier, vol. 223(C).
  16. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2008. "Pricing options on scenario trees," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 283-298, February.
  17. Densing, M., 2013. "Dispatch planning using newsvendor dual problems and occupation times: Application to hydropower," European Journal of Operational Research, Elsevier, vol. 228(2), pages 321-330.
  18. Zhao, Daping & Bai, Lin & Fang, Yong & Wang, Shouyang, 2022. "Multi‐period portfolio selection with investor views based on scenario tree," Applied Mathematics and Computation, Elsevier, vol. 418(C).
  19. Zhaoxia Guo & Stein W. Wallace & Michal Kaut, 2019. "Vehicle Routing with Space- and Time-Correlated Stochastic Travel Times: Evaluating the Objective Function," INFORMS Journal on Computing, INFORMS, vol. 31(4), pages 654-670, October.
  20. Castro, Jordi & Escudero, Laureano F. & Monge, Juan F., 2023. "On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 268-285.
  21. Andris Möller & Werner Römisch & Klaus Weber, 2008. "Airline network revenue management by multistage stochastic programming," Computational Management Science, Springer, vol. 5(4), pages 355-377, October.
  22. Peter Buchholz & Dimitri Scheftelowitsch, 2019. "Computation of weighted sums of rewards for concurrent MDPs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(1), pages 1-42, February.
  23. Murat Köksalan & Ceren Tuncer Şakar, 2016. "An interactive approach to stochastic programming-based portfolio optimization," Annals of Operations Research, Springer, vol. 245(1), pages 47-66, October.
  24. Michal Kaut & Kjetil Midthun & Adrian Werner & Asgeir Tomasgard & Lars Hellemo & Marte Fodstad, 2014. "Multi-horizon stochastic programming," Computational Management Science, Springer, vol. 11(1), pages 179-193, January.
  25. Holger Heitsch & Werner Römisch, 2009. "Scenario tree reduction for multistage stochastic programs," Computational Management Science, Springer, vol. 6(2), pages 117-133, May.
  26. Consiglio, Andrea & Carollo, Angelo & Zenios, Stavros A., 2014. "Generating Multi-factor Arbitrage-Free Scenario Trees with Global Optimization," Working Papers 13-35, University of Pennsylvania, Wharton School, Weiss Center.
  27. Fernando Rojas & Víctor Leiva & Peter Wanke & Camilo Lillo & Jimena Pascual, 2019. "Modeling lot-size with time-dependent demand based on stochastic programming and case study of drug supply in Chile," PLOS ONE, Public Library of Science, vol. 14(3), pages 1-24, March.
  28. Torres-Rincón, Samuel & Sánchez-Silva, Mauricio & Bastidas-Arteaga, Emilio, 2021. "A multistage stochastic program for the design and management of flexible infrastructure networks," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
  29. Diana Barro & Elio Canestrelli, 2011. "Combining stochastic programming and optimal control to solve multistage stochastic optimization problems," Working Papers 2011_24, Department of Economics, University of Venice "Ca' Foscari", revised 2011.
  30. Francesca Maggioni & Michal Kaut & Luca Bertazzi, 2009. "Stochastic optimization models for a single-sink transportation problem," Computational Management Science, Springer, vol. 6(2), pages 251-267, May.
  31. Owadally, Iqbal & Jang, Chul & Clare, Andrew, 2021. "Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1132-1146.
  32. Kostrova, Alisa & Britz, Wolfgang & Djanibekov, Utkur & Finger, Robert, 2016. "Monte-Carlo Simulation and Stochastic Programming in Real Options Valuation: the Case of Perennial Energy Crop Cultivation," Discussion Papers 250253, University of Bonn, Institute for Food and Resource Economics.
  33. Braouezec, Yann & Grunspan, Cyril, 2016. "A new elementary geometric approach to option pricing bounds in discrete time models," European Journal of Operational Research, Elsevier, vol. 249(1), pages 270-280.
  34. Boris Defourny & Damien Ernst & Louis Wehenkel, 2013. "Scenario Trees and Policy Selection for Multistage Stochastic Programming Using Machine Learning," INFORMS Journal on Computing, INFORMS, vol. 25(3), pages 488-501, August.
  35. Arnt-Gunnar Lium & Teodor Gabriel Crainic & Stein W. Wallace, 2009. "A Study of Demand Stochasticity in Service Network Design," Transportation Science, INFORMS, vol. 43(2), pages 144-157, May.
  36. Hongling, Liu & Chuanwen, Jiang & Yan, Zhang, 2008. "A review on risk-constrained hydropower scheduling in deregulated power market," Renewable and Sustainable Energy Reviews, Elsevier, vol. 12(5), pages 1465-1475, June.
  37. Michal Kaut, 2014. "A copula-based heuristic for scenario generation," Computational Management Science, Springer, vol. 11(4), pages 503-516, October.
  38. Chatwattanasiri, Nida & Coit, David W. & Wattanapongsakorn, Naruemon, 2016. "System redundancy optimization with uncertain stress-based component reliability: Minimization of regret," Reliability Engineering and System Safety, Elsevier, vol. 154(C), pages 73-83.
  39. Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali & Lorenzo Mercuri, 2018. "Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming," Computational Management Science, Springer, vol. 15(3), pages 599-632, October.
  40. Petrus Strydom, 2017. "Funding optimization for a bank integrating credit and liquidity risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(2), pages 1-1.
  41. Marida Bertocchi & Vittorio Moriggia & Jitka Dupačová, 2006. "Horizon and stages in applications of stochastic programming in finance," Annals of Operations Research, Springer, vol. 142(1), pages 63-78, February.
  42. Audrius Kabašinskas & Francesca Maggioni & Kristina Šutienė & Eimutis Valakevičius, 2019. "A multistage risk-averse stochastic programming model for personal savings accrual: the evidence from Lithuania," Annals of Operations Research, Springer, vol. 279(1), pages 43-70, August.
  43. Laureano F. Escudero & Juan F. Monge, 2021. "On Multistage Multiscale Stochastic Capacitated Multiple Allocation Hub Network Expansion Planning," Mathematics, MDPI, vol. 9(24), pages 1-39, December.
  44. Leung, Stephen C.H. & Tsang, Sally O.S. & Ng, W.L. & Wu, Yue, 2007. "A robust optimization model for multi-site production planning problem in an uncertain environment," European Journal of Operational Research, Elsevier, vol. 181(1), pages 224-238, August.
  45. Lulli, Guglielmo & Sen, Suvrajeet, 2006. "A heuristic procedure for stochastic integer programs with complete recourse," European Journal of Operational Research, Elsevier, vol. 171(3), pages 879-890, June.
  46. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?," Post-Print hal-00433037, HAL.
  47. Latorre, Jesus M & Cerisola, Santiago & Ramos, Andres, 2007. "Clustering algorithms for scenario tree generation: Application to natural hydro inflows," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1339-1353, September.
  48. Lei, Kaixuan & Chang, Jianxia & Long, Ruihao & Wang, Yimin & Zhang, Hongxue, 2022. "Cascade hydropower station risk operation under the condition of inflow uncertainty," Energy, Elsevier, vol. 244(PA).
  49. Liu, Kun & Gao, Feng, 2017. "Scenario adjustable scheduling model with robust constraints for energy intensive corporate microgrid with wind power," Renewable Energy, Elsevier, vol. 113(C), pages 1-10.
  50. Andrea Consiglio & Domenico De Giovanni, 2010. "Pricing the Option to Surrender in Incomplete Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 935-957, December.
  51. Michael Chen & Sanjay Mehrotra & Dávid Papp, 2015. "Scenario generation for stochastic optimization problems via the sparse grid method," Computational Optimization and Applications, Springer, vol. 62(3), pages 669-692, December.
  52. Alaeddine Faleh & Fr'ed'eric Planchet & Didier Rulli`ere, 2009. "Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?," Papers 0911.3472, arXiv.org.
  53. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2021. "Sparse factor model based on trend filtering," Annals of Operations Research, Springer, vol. 306(1), pages 321-342, November.
  54. Ceren Tuncer Şakar & Murat Köksalan, 2013. "A stochastic programming approach to multicriteria portfolio optimization," Journal of Global Optimization, Springer, vol. 57(2), pages 299-314, October.
  55. Woong Bee Choi & Dongyeol Lee & Woo Chang Kim, 2021. "Extending the Scope of ALM to Social Investment: Investing in Population Growth to Enhance Sustainability of the Korean National Pension Service," Sustainability, MDPI, vol. 13(1), pages 1-14, January.
  56. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
  57. Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
  58. Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali, 2020. "Long-term individual financial planning under stochastic dominance constraints," Annals of Operations Research, Springer, vol. 292(2), pages 973-1000, September.
  59. Warren B. Powell, 2016. "Perspectives of approximate dynamic programming," Annals of Operations Research, Springer, vol. 241(1), pages 319-356, June.
  60. Patrizia Beraldi & Maria Bruni, 2014. "A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 934-949, October.
  61. İ. Esra Büyüktahtakın, 2022. "Stage-t scenario dominance for risk-averse multi-stage stochastic mixed-integer programs," Annals of Operations Research, Springer, vol. 309(1), pages 1-35, February.
  62. Fan, Vivienne Hui & Dong, Zhaoyang & Meng, Ke, 2020. "Integrated distribution expansion planning considering stochastic renewable energy resources and electric vehicles," Applied Energy, Elsevier, vol. 278(C).
  63. Andrea Consiglio & Alessandro Staino, 2012. "A stochastic programming model for the optimal issuance of government bonds," Annals of Operations Research, Springer, vol. 193(1), pages 159-172, March.
  64. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité," Post-Print hal-00530868, HAL.
  65. Xiaojia Guo & Alexandros Beskos & Afzal Siddiqui, 2016. "The natural hedge of a gas-fired power plant," Computational Management Science, Springer, vol. 13(1), pages 63-86, January.
  66. Escudero, Laureano F. & Monge, Juan F. & Rodríguez-Chía, Antonio M., 2020. "On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty," European Journal of Operational Research, Elsevier, vol. 287(1), pages 262-279.
  67. Luc Mercier & Pascal Hentenryck, 2011. "An anytime multistep anticipatory algorithm for online stochastic combinatorial optimization," Annals of Operations Research, Springer, vol. 184(1), pages 233-271, April.
  68. Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2010. "No-arbitrage conditions, scenario trees, and multi-asset financial optimization," European Journal of Operational Research, Elsevier, vol. 206(3), pages 609-613, November.
  69. Alonso-Ayuso, Antonio & Carvallo, Felipe & Escudero, Laureano F. & Guignard, Monique & Pi, Jiaxing & Puranmalka, Raghav & Weintraub, Andrés, 2014. "Medium range optimization of copper extraction planning under uncertainty in future copper prices," European Journal of Operational Research, Elsevier, vol. 233(3), pages 711-726.
  70. Angelos Georghiou & Daniel Kuhn & Wolfram Wiesemann, 2019. "The decision rule approach to optimization under uncertainty: methodology and applications," Computational Management Science, Springer, vol. 16(4), pages 545-576, October.
  71. Ignacio Rios & Roger Wets & David Woodruff, 2015. "Multi-period forecasting and scenario generation with limited data," Computational Management Science, Springer, vol. 12(2), pages 267-295, April.
  72. Toso, Eli Angela V. & Alem, Douglas, 2014. "Effective location models for sorting recyclables in public management," European Journal of Operational Research, Elsevier, vol. 234(3), pages 839-860.
  73. Séguin, Sara & Fleten, Stein-Erik & Côté, Pascal & Pichler, Alois & Audet, Charles, 2017. "Stochastic short-term hydropower planning with inflow scenario trees," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1156-1168.
  74. de Lange, Petter E. & Fleten, Stein-Erik & Gaivoronski, Alexei A., 2004. "Modeling financial reinsurance in the casualty insurance business via stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 991-1012, February.
  75. Klibi, Walid & Martel, Alain, 2012. "Scenario-based Supply Chain Network risk modeling," European Journal of Operational Research, Elsevier, vol. 223(3), pages 644-658.
  76. Ghorbani, Milad & Nourelfath, Mustapha & Gendreau, Michel, 2024. "Stochastic programming for selective maintenance optimization with uncertainty in the next mission conditions," Reliability Engineering and System Safety, Elsevier, vol. 241(C).
  77. Torben C. Barth & Janus Timler Holm & Jakob Lindorff Larsen & David Pisinger, 2021. "Optimization of Transfer Baggage Handling in a Major Transit Airport," SN Operations Research Forum, Springer, vol. 2(2), pages 1-35, June.
  78. M. Pilar Muñoz & Cristina Corchero & F.-Javier Heredia, 2013. "Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid," International Statistical Review, International Statistical Institute, vol. 81(2), pages 289-306, August.
  79. Yonghan Feng & Sarah Ryan, 2016. "Solution sensitivity-based scenario reduction for stochastic unit commitment," Computational Management Science, Springer, vol. 13(1), pages 29-62, January.
  80. Rocha, Paula & Kuhn, Daniel, 2012. "Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules," European Journal of Operational Research, Elsevier, vol. 216(2), pages 397-408.
  81. Maria Vespucci & Francesca Maggioni & Maria Bertocchi & Mario Innorta, 2012. "A stochastic model for the daily coordination of pumped storage hydro plants and wind power plants," Annals of Operations Research, Springer, vol. 193(1), pages 91-105, March.
  82. Y Shi & F Wu & L K Chu & D Sculli & Y H Xu, 2011. "A portfolio approach to managing procurement risk using multi-stage stochastic programming," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(11), pages 1958-1970, November.
  83. Dupacova, Jitka, 2002. "Applications of stochastic programming: Achievements and questions," European Journal of Operational Research, Elsevier, vol. 140(2), pages 281-290, July.
  84. S C H Leung & K K Lai & W-L Ng & Y Wu, 2007. "A robust optimization model for production planning of perishable products," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(4), pages 413-422, April.
  85. João Flávio de Freitas Almeida & Samuel Vieira Conceição & Luiz Ricardo Pinto & Ricardo Saraiva de Camargo & Gilberto de Miranda Júnior, 2018. "Flexibility evaluation of multiechelon supply chains," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-27, March.
  86. Diana Barro & Elio Canestrelli, 2016. "Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(3), pages 711-742, July.
  87. Bin Xu & Ping-an Zhong & Yenan Wu & Fangming Fu & Yuting Chen & Yunfa Zhao, 2017. "A Multiobjective Stochastic Programming Model for Hydropower Hedging Operations under Inexact Information," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 31(14), pages 4649-4667, November.
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