APPLICATIONS OF STOCHASTIC-PROGRAMMING UNDER INCOMPLETE INFORMATION

被引：6

作者：

DUPACOVA, J ^{[1
]}

机构：

[1] CHARLES UNIV, DEPT MATH STAT, CR-18600 PRAGUE 8, CZECH REPUBLIC

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 1994年 / 56卷 / 1-2期

关键词：

STOCHASTIC PROGRAMMING; INCOMPLETE INFORMATION; SCENARIOS; STABILITY; WORST-CASE ANALYSIS; APPLICATIONS;

D O I：

10.1016/0377-0427(94)90382-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The main part of the paper (Section 3) provides an overview of case studies based on stochastic programming models in which reality of incomplete information about distribution of random parameters is clearly accepted and treated. Also, several techniques of scenario generation are surveyed in this context. Basic ideas of various approaches to stochastic programming models under incomplete information are briefly explained on illustrative examples in Section 2.

引用

页码：113 / 125

页数：13

共 37 条

[1] A STOCHASTIC-PROGRAMMING PROCESS MODEL FOR INVESTMENT PLANNING [J].

ANANDALINGAM, G .

COMPUTERS & OPERATIONS RESEARCH, 1987, 14 (06) :521-536

[2]

Armacost R. L., 1974, Mathematical Programming, V6, P301, DOI 10.1007/BF01580247

[3] SENSITIVITY ANALYSIS FOR MEAN-VARIANCE PORTFOLIO PROBLEMS [J].

BEST, MJ ;

GRAUER, RR .

MANAGEMENT SCIENCE, 1991, 37 (08) :980-989

[4]

Bradley SP, 1980, STOCHASTIC PROGRAMMI, P449

[5]

BUHLER W, 1978, EUR J OPER RES, V2, P313, DOI 10.1016/0377-2217(78)90001-2

[6]

BUHLER W, 1981, CAPITAL BUDGETING CO, P81

[7] THE NEWSBOY AND THE FLOWER-GIRL [J].

CASIMIR, RJ .

OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 1990, 18 (04) :395-398

[8]

CHOPRA WK, UNPUB J PORTFOLIO MG

[9]

DANTZIG GB, 1993, ANN OPER RES, V45, P57

[10]

DEMBO RS, 1991, VERY LARGE SCALE COM

← 1 2 3 4 →