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Applications of Stochastic Programming最新文献

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22. Catastrophic Risk Management: Flood and Seismic Risks Case Studies 22. 灾难性风险管理:洪水和地震风险案例研究
Applications of Stochastic Programming Pub Date : 2005-10-01 DOI: 10.1137/1.9780898718799.ch22
T. Ermolieva, Y. Ermoliev
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引用次数: 35
26. Wealth Goals Investing 26. 财富目标投资
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch26
L. MacLean, Yonggan Zhao, W. Ziemba
{"title":"26. Wealth Goals Investing","authors":"L. MacLean, Yonggan Zhao, W. Ziemba","doi":"10.1137/1.9780898718799.ch26","DOIUrl":"https://doi.org/10.1137/1.9780898718799.ch26","url":null,"abstract":"","PeriodicalId":403781,"journal":{"name":"Applications of Stochastic Programming","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125390163","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
28. Price Protection Strategies for an Oil Company 28. 石油公司的价格保护策略
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch28
E. Medova, A. Sembos
{"title":"28. Price Protection Strategies for an Oil Company","authors":"E. Medova, A. Sembos","doi":"10.1137/1.9780898718799.ch28","DOIUrl":"https://doi.org/10.1137/1.9780898718799.ch28","url":null,"abstract":"Crude oil price volatility has a significant impact on the planning decisions and budgets of oil companies. Taking account of such major activities as supply, storage, transformation and transportation toge ther with trading on the commodity markets, we investigate the influence of random prices and demands. Such problems may be formulated as dynamic stochastic programmes with robust first stage solutions in the face of future price and demand uncertainties. In this paper we describe the trading environment and investigate hedging policies in coordination with the logistics planning problem.","PeriodicalId":403781,"journal":{"name":"Applications of Stochastic Programming","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129319763","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
15. Melt Control: Charge Optimization via Stochastic Programming 15. 熔体控制:基于随机规划的电荷优化
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch15
J. Dupacová, P. Popela
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引用次数: 2
14. A Supply Chain Optimization Model for the Norwegian Meat Cooperative 14. 挪威肉类合作社供应链优化模型
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch14
A. Tomasgard, E. Høeg
{"title":"14. A Supply Chain Optimization Model for the Norwegian Meat Cooperative","authors":"A. Tomasgard, E. Høeg","doi":"10.1137/1.9780898718799.ch14","DOIUrl":"https://doi.org/10.1137/1.9780898718799.ch14","url":null,"abstract":"","PeriodicalId":403781,"journal":{"name":"Applications of Stochastic Programming","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122017705","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
19. Stochastic Optimization for Lake Eutrophication Management 19. 湖泊富营养化管理的随机优化
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch19
A. King, L. Somlyódy, R. Wets
{"title":"19. Stochastic Optimization for Lake Eutrophication Management","authors":"A. King, L. Somlyódy, R. Wets","doi":"10.1137/1.9780898718799.ch19","DOIUrl":"https://doi.org/10.1137/1.9780898718799.ch19","url":null,"abstract":"","PeriodicalId":403781,"journal":{"name":"Applications of Stochastic Programming","volume":"71 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127888767","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
7. Stochastic Programming from Modeling Languages 7. 基于建模语言的随机规划
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch7
E. Fragnière, J. Gondzio
{"title":"7. Stochastic Programming from Modeling Languages","authors":"E. Fragnière, J. Gondzio","doi":"10.1137/1.9780898718799.ch7","DOIUrl":"https://doi.org/10.1137/1.9780898718799.ch7","url":null,"abstract":"","PeriodicalId":403781,"journal":{"name":"Applications of Stochastic Programming","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127990694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds 29. 条件风险价值和条件风险回撤方法的数值比较:在对冲基金中的应用
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch29
P. Krokhmal, S. Uryasev, G. Zrazhevsky
{"title":"29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds","authors":"P. Krokhmal, S. Uryasev, G. Zrazhevsky","doi":"10.1137/1.9780898718799.ch29","DOIUrl":"https://doi.org/10.1137/1.9780898718799.ch29","url":null,"abstract":"","PeriodicalId":403781,"journal":{"name":"Applications of Stochastic Programming","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122864263","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
18. Stochastic Approximation, Momentum, and Nash Play 18. 随机逼近，动量和纳什游戏
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch18
H. Berglann, S. Flåm
{"title":"18. Stochastic Approximation, Momentum, and Nash Play","authors":"H. Berglann, S. Flåm","doi":"10.1137/1.9780898718799.ch18","DOIUrl":"https://doi.org/10.1137/1.9780898718799.ch18","url":null,"abstract":"Main objects here are normal-form games, featuring uncertainty and noncooperative players who entertain local visions, form local approximations, and hesitate in making large, swift adjustments. For the purpose of reaching Nash equilibrium, or learning such play, we advocate and illustrate an algorithm that combines stochastic gradient projection with the heavyball method. What emerges is a coupled, constrained, second-order stochastic process. Some friction feeds into and stabilizes myopic approximations. Convergence to Nash play obtains under seemingly weak and natural conditions, an important one being that accumulated marginal payo¤s remains bounded above.","PeriodicalId":403781,"journal":{"name":"Applications of Stochastic Programming","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114204183","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
32. Stochastic Optimization Problems in Telecommunications 32. 电信中的随机优化问题
Applications of Stochastic Programming Pub Date : 1900-01-01 DOI: 10.1137/1.9780898718799.ch32
A. Gaivoronski
{"title":"32. Stochastic Optimization Problems in Telecommunications","authors":"A. Gaivoronski","doi":"10.1137/1.9780898718799.ch32","DOIUrl":"https://doi.org/10.1137/1.9780898718799.ch32","url":null,"abstract":"We survey different optimization problems under uncertainty which arise in telecommunications. Three levels of decisions are distinguished: design of structural elements of telecommunication networks, top level design of telecommunication networks and design of optimal policies of telecommunication enterprize. Examples of typical problems from each level show that the stochastic programming paradigm is a powerful approach for solving telecommunication design problems.","PeriodicalId":403781,"journal":{"name":"Applications of Stochastic Programming","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116280689","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
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