Progressive hedging (PH) is a scenario-based decomposition technique for solving stochastic programs. While PH has been successfully applied to a number of problems, a variety of issues arise when implementing PH in practice, especially when dealing with very difficult or large-scale...

This volume contains selected papers presented at a UK-Japanese Workshop held at Churchill College, Cambridge, July 1995. The first group of papers looks at modelling, and solution techniques that have proved useful in the operational and strategic levels of manufacturing-greedy algorithms,...

The distribution of equity returns exhibits skewness and kurtosis. These two stylized facts are embedded in the multivariate volatility distribution of equity returns and are important in measuring the risk of an equity portfolio. In order to capture these attributes while estimating the...