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Recent results in stochastic programming : proceedings, Oberwolfach January 28 - February 3, 1979

Kall, Peter (ed.) - 1980

Persistent link: https://www.econbiz.de/10000700590

Stochastic linear programming

Kall, Peter - 1976

Persistent link: https://www.econbiz.de/10000048408

Stochastic linear programming : models, theory, and computation

Kall, Peter; Mayer, János - 2011 - 2. ed.

Persistent link: https://www.econbiz.de/10008738248

Stochastic programming : numerical techniques and engineering applications; Proceedings of the 2. GAMM/IFIP-Workshop on " Stochastic Optimization: Numerical Methods and Technical A...

Marti, Kurt (ed.); Kall, Peter (contributor) - 1995

Persistent link: https://www.econbiz.de/10013278130

Stochastic Linear Programming : Models, Theory, and Computation

Kall, Peter - 2011 - 2

Persistent link: https://www.econbiz.de/10014275199

Stochastic programming : achievements and open problems

Kall, Peter - 2001

Persistent link: https://www.econbiz.de/10001563641

Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

Guigues, Vincent; Sagastizábal, Claudia - In: Operations research letters 40 (2012) 6, pp. 478-483

Persistent link: https://www.econbiz.de/10009717310

Risk-averse stochastic optimal control : An efficiently computable statistical upper bound

Guigues, Vincent; Shapiro, Alexander; Cheng, Yi - In: Operations research letters 51 (2023) 4, pp. 393-400

Persistent link: https://www.econbiz.de/10014426574

SDDP for multistage stochastic linear programs based on spectral risk measures

Guigues, Vincent; Römisch, Werner - In: Operations research letters 40 (2012) 5, pp. 313-318

Persistent link: https://www.econbiz.de/10009613830

Multistage Stochastic Programs with a Random Number of Stages : Dynamic Programming Equations, Solution Methods, and Application to Portfolio Selection

Guigues, Vincent - 2018

We introduce the class of multistage stochastic optimization problems with a random number of stages. For such problems, we show how to write dynamic programming equations and detail the Stochastic Dual Dynamic Programming algorithm to solve these equations. Finally, we consider a portfolio...

Persistent link: https://www.econbiz.de/10012924810