Some matheuristic algorithms for multistage stochastic optimization models with endogenous uncertainty and risk management
Laureano F. Escudero, M. Araceli Garín, Juan F. Monge, Aitziber Unzueta
| Year of publication: |
2020
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|---|---|
| Authors: | Escudero, Laureano F. ; Garín, María Araceli ; Monge, Juan F. ; Unzueta Inchaurbe, Aitziber |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 285.2020, 3 (16.9.), p. 988-1001
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| Subject: | Stochastic programming | Exogenous and endogenous uncertainties | Time-consistent stochastic dominance | Mixed 0-1 bilinear optimization | Scenario cluster-based decomposition algorithms | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Risikomanagement | Risk management | Algorithmus | Algorithm | Dynamische Optimierung | Dynamic programming | Entscheidung unter Unsicherheit | Decision under uncertainty | Portfolio-Management | Portfolio selection | Dekompositionsverfahren | Decomposition method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.02.046 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012239827