In this paper, an interior-point based global filtering algorithm is proposed to solve linear programming problems with the right-hand-side and cost vectors being stochastic. Previous results on the limiting properties of the Kalman filtering process have been extended to handle some...

We consider a stochastic version of the Stackelberg-Nash-Cournot model proposed by Murphy et al. (Murphy, F. H., H. D. Sherali, A. L. Soyester. 1983. Stackelberg-Nash-Cournot equilibria characterizations and computations. Oper. Res. 31 253--276.). In the first stage, the leader chooses and...

Several financial planning problems are posed as dynamic generalized network models with stochastic parameters. Examples include: asset allocation for portfolio selection, international cash management, and programmed-trading arbitrage. Despite the large size of the resulting stochastic...

This paper studies a problem of determining the level of certain decisions, taken prior to certain events taking place, and the subsequent additional resource procurement decisions needed to implement the initial program once these events have materialised. The problem is formulated first of all...