Search Results - subject:"Scenario generation"

Multi-period descriptive sampling for scenario generation applied to the stochastic capacitated lot-sizing problem

Stadtler, Hartmut; Heinrichs, Nikolai - In: OR spectrum : quantitative approaches in management 46 (2024) 3, pp. 639-668

Persistent link: https://www.econbiz.de/10015188624

Multi-period descriptive sampling for scenario generation applied to the stochastic capacitated lot-sizing problem

Stadtler, Hartmut; Heinrichs, Nikolai - In: OR Spectrum 46 (2024) 3, pp. 639-668

Using scenarios to model a stochastic system’s behavior poses a dilemma. While a large(r) set of scenarios usually improves the model’s accuracy, it also causes drastic increases in the model’s size and the computational effort required. Multi-period descriptive sampling (MPDS) is a new...

Persistent link: https://www.econbiz.de/10015333155

Problem-based scenario generation by decomposing output distributions

Narum, Benjamin S.; Fairbrother, Jamie; Wallace, Stein W. - In: European journal of operational research : EJOR 318 (2024) 1, pp. 154-166

Persistent link: https://www.econbiz.de/10015047693

Portfolio rebalancing based on time series momentum and downside risk

Guo, Xiaoshi; Ryan, Sarah M. - In: IMA journal of management mathematics 34 (2023) 2, pp. 355-381

Persistent link: https://www.econbiz.de/10014313747

Operations research helps the optimal bidding of virtual power plants

Kim, Daeho; Cheon, Hyungkyu; Choi, Dong Gu; Im, Seongbin - In: INFORMS journal on applied analytics 52 (2022) 4, pp. 344-362

Persistent link: https://www.econbiz.de/10013352880

Scenario Generation for IFRS9 Purposes using a Bayesian MS-VAR Model

Kuchta, Michal - 2021

existing approaches to scenario generation and probability weights assignment suffer from arbitrary inputs, e.g. expert …

Persistent link: https://www.econbiz.de/10012695528

Scenario generation by selection from historical data

Kaut, Michal - In: Computational management science 18 (2021) 3, pp. 411-429

Persistent link: https://www.econbiz.de/10012615147

Scenario generation for IFRS9 purposes using a Bayesian MS-VAR model

Kuchta, Michal - 2021

existing approaches to scenario generation and probability weights assignment suffer from arbitrary inputs, e.g. expert …

Persistent link: https://www.econbiz.de/10012496739

Strategic allocation of reserve pension funds: Application of ALM model and LDI technique

Aitoutouhen, Latifa; Hamza, Faris - In: Revista de Métodos Cuantitativos para la Economía y … 28 (2019), pp. 381-425

This article will focus on the research for the strategic allocation of reserve fund of the Moroccan pension scheme in order to ensure and improve its solvency. The first aim of this paper is to construct and test an Economic Scenario Generator (ESG) based on a model inspired of the Ahlgrim...

Persistent link: https://www.econbiz.de/10014494482

Regression based scenario generation: Applications for performance management

Mitra, Sovan; Limb, Sungmook; Karathanasopoulos, Andreas - In: Operations Research Perspectives 6 (2019), pp. 1-12

their performance using Stochastic Programming but to the best of our knowledge there exists no scenario generation method … for regression models. In this paper we propose a new scenario generation method for linear regression used in performance … management. Our scenario generation method is able to produce more representative scenarios by utilising the data driven …

Persistent link: https://www.econbiz.de/10012662763