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Scientific Research Publishing6y
Kouwenberg, R., & Zenois, S. A. (2001). Stochastic Programming Models for Asset and Liability Management. - References - Scientific Research Publishing
Having faulted the value-at-risk technique which is common in the asset and liability literature, we introduce the multi-stage stochastic programming using econometric time series model. Specifically, ...
University of Waterloo2y
A novel stochastic programming approach for scheduling of batch processes with decision dependent time of uncertainty realization
Chemical Process Optimization, Multiscale Modelling and Process Systems Home. Research ... A novel stochastic programming approach for scheduling of batch processes with decision dependent time of ...
University of Waterloo2y
A Multi-Stage Stochastic Programming Approach for Scheduling of Batch Processes Under Decision-Dependent Uncertainty | Chemical Process Optimization, Multiscale Modelling and ...
Chemical Process Optimization, Multiscale Modelling and Process Systems. Menu. Chemical Process Optimization, Multiscale Modelling and Process Systems Home. ... A Multi-Stage Stochastic Programming ...
IEEE3y
Dynamic Programming and a Verification Theorem for the Recursive Stochastic Control Problem of Jump-Diffusion Models With Random Coefficients - IEEE Xplore
In this article, we consider the stochastic optimal control problem for (forward) stochastic differential equations (SDEs) with jump diffusions and random coefficients under a recursive-type objective ...
IEEE1mon
Continuous-time Chance-constrained Stochastic Model Predictive Control ...
In this paper, we address the continuous-time chance-constrained nonlinear Stochastic Model Predictive Control (SMPC) problem using Conditional Value at Risk (CVaR). Chance constraint directly ...