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Analysis of stochastic dual dynamic programming method

Shapiro, Alexander - In: European journal of operational research : EJOR 209 (2011) 1, pp. 63-72

Persistent link: https://www.econbiz.de/10008798705

Solving Dynamic Programming Problems on a Computational Grid

Cai, Yongyang - 2013

We implement a dynamic programming algorithm on a computational grid consisting of loosely coupled processors, possibly including clusters and individual workstations. The grid changes dynamically during the computation, as processors enter and leave the pool of workstations. The algorithm is...

Persistent link: https://www.econbiz.de/10013088396

A model of credit risk, optimal policies and asset prices

Başak, Suleyman (contributor); Shapiro, Alex (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001700402

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

A model of credit risk, optimal policies, and asset prices

Başak, Suleyman; Shapiro, Alex - 2000

Persistent link: https://www.econbiz.de/10001539732

Risk neutral and risk averse Stochastic Dual Dynamic Programming method

Shapiro, Alexander; Tekaya, Wajdi; Costa, Joari Paulo da; … - In: European journal of operational research : EJOR 224 (2013) 2, pp. 375-391

Persistent link: https://www.econbiz.de/10009683060

A model of credit risk, optimal policies, and asset prices

Başak, Suleyman; Shapiro, Alex - In: The journal of business : B 78 (2005) 4, pp. 1215-1266

Persistent link: https://www.econbiz.de/10003172608

Rectangular sets of probability measures

Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541

Persistent link: https://www.econbiz.de/10011485624

Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty

Bruno, Sergio; Ahmed, Shabbir; Shapiro, Alexander; … - In: European journal of operational research : EJOR 250 (2016) 3, pp. 979-989

Persistent link: https://www.econbiz.de/10011445359

Modeling time-dependent randomness in stochastic dual dynamic programming

Löhndorf, Nils; Shapiro, Alexander - In: European journal of operational research : EJOR 273 (2019) 2, pp. 650-661

Persistent link: https://www.econbiz.de/10011987574