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Robust optimization based on the propagation of variance method for analytic design models

Picheral, Laura; Hadj-Hamou, Khaled; Bigeon, Jean - In: International journal of production research 52 (2014) 24, pp. 7324-7338

Persistent link: https://www.econbiz.de/10010474539

Combining simulation and optimization to derive operating policies for a concentrating solar power plant

Wales, Jesse G.; Zolan, Alexander J.; Hamilton, William T. - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 119-150

Persistent link: https://www.econbiz.de/10014226373

Modeling CRS bounded additive DEA models and characterizing their Pareto-efficient points

Pastor, Jesús T.; Aparicio, Juan; Monge, Juan F.; … - In: Journal of productivity analysis 40 (2013) 3, pp. 285-292

Persistent link: https://www.econbiz.de/10010411362

Overcoming data barriers in spatial agri-food systems analysis : a flexible imputation framework

Yi, Jing; Cohen, Samantha; Rehkamp, Sarah; Canning, … - In: Journal of agricultural economics : JAE 74 (2023) 3, pp. 686-701

Persistent link: https://www.econbiz.de/10014342572

Mean-variance portfolio selection in presence of infrequently traded stocks

Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449

Persistent link: https://www.econbiz.de/10010356733

Pathwise dynamic programming

Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus - In: Mathematics of operations research 43 (2018) 3, pp. 965-995

Persistent link: https://www.econbiz.de/10011914390

A primal-dual algorithm for BSDES

Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 866-901

Persistent link: https://www.econbiz.de/10011764983

Importance sampling in stochastic programming : a Markov chain Monte Carlo approach

Parpas, Panos; Ustun, Berk; Webster, Mort; Tran, Quang Kha - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 358-377

Persistent link: https://www.econbiz.de/10011291297

An artificial intelligence approach to the valuation of American-style derivatives : a use of particle swarm optimization

Chen, Ren-Raw; Huang, Jeffrey; Huang, William; Yu, Robert - In: Journal of risk and financial management : JRFM 14 (2021) 2/57, pp. 1-22

In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically, we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (regarding computation and...

Persistent link: https://www.econbiz.de/10012483653

Forest of stochastic trees: a method for valuing multiple exercise options

Reesor, R. Mark; Marshall, T. James - In: Journal of risk and financial management : JRFM 13 (2020) 5/95, pp. 1-31

We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The …

Persistent link: https://www.econbiz.de/10012304872