Search Results - subject:"Stochastic programming"

Analytic Decision Rules for Financial Stochastic Programs

Siegmann, Arjen H.; Lucas, André - Tinbergen Instituut - 2000

stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from …

Persistent link: https://www.econbiz.de/10011256489

Analytic decision rules for financial stochastic programs

Siegmann, Adriaan Hendrik; Lucas, André - 2000 - This version: May 1, 2000

stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from …

Persistent link: https://www.econbiz.de/10011303296

Producer behavior in the presence of an income stabilization program

Stokes, Jeffrey R.; Coble, Keith H.; Dismukes, Robert - In: Agricultural Finance Review 60 (2000) 1, pp. 34-59

Account (NISA) program as an example of a subsidized savings program, a stochastic programming model of income stabilization …

Persistent link: https://www.econbiz.de/10014667258

Modelling embedded risk in peasant agriculture: methodological insights from northern Malawi

Dorward, Andrew - In: Agricultural Economics of Agricultural Economists 21 (1999) 2

-sequential programming, discrete stochastic programming (DSP) provided more efficient solutions for problems involving embedded risk. There …

Persistent link: https://www.econbiz.de/10011069192

Arbitrage and sampling uncertainty in financial stochastic programming models

Lucas, Andre; Berkelaar, Berkelaar, A.B.; Hoek, Hoek, H. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

possiblilites. We formulate an ALM model for pension funds as a multistage stochastic programming model. Relevant variables such as …

Persistent link: https://www.econbiz.de/10011149268

A primal-dual decomposition based interior point approach to two-stage stochastic linear programming

Berkelaar, Berkelaar, A.B.; Dert, Dert, C.L.; … - Faculteit der Economische Wetenschappen, Erasmus … - 1999

Decision making under uncertainty is a challenge faced by many decision makers. Stochastic programming is a major tool … bond-portfolio management. Computationally however, many models in stochastic programming remain unsolvable because of … are based on decomposing the data. In this paper we propose a new decomposition approach for two-stage stochastic …

Persistent link: https://www.econbiz.de/10011149269

Arbitrage and sampling uncertainty in financial stochastic programming models

Berkelaar, A.B.; Hoek, H.; Lucas, A. - Erasmus University Rotterdam, Econometric Institute - 1999

possiblilites. We formulate an ALM model for pension funds as a multistage stochastic programming model. Relevant variables such as …

Persistent link: https://www.econbiz.de/10008484075

A primal-dual decomposition based interior point approach to two-stage stochastic linear programming

Berkelaar, A.B.; Dert, C.L.; Oldenkamp, K.P.B.; Zhang, S. - Erasmus University Rotterdam, Econometric Institute - 1999

Persistent link: https://www.econbiz.de/10008584704

Linear Programming Models for the User and System Optimal Dynamic Network Design Problem: Formulations, Comparisons and Extensions

Ukkusuri, Satish; Waller, S. - In: Networks and Spatial Economics 8 (2008) 4, pp. 383-406

Persistent link: https://www.econbiz.de/10005537005

A Fuzzy Stochastic Dynamic Nash Game Analysis of Policies for Managing Water Allocation in a Reservoir System

Ganji, A.; Khalili, D.; Karamouz, M.; Ponnambalam, K.; … - In: Water Resources Management 22 (2008) 1, pp. 51-66

In this paper a fuzzy dynamic Nash game model of interactions between water users in a reservoir system is presented. The model represents a fuzzy stochastic non-cooperative game in which water users are grouped into four players, where each player in game chooses its individual policies to...

Persistent link: https://www.econbiz.de/10010794424