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Portfolio optimization with nonparametric value at risk : a block coordinate descent method
Cui, Xueting; Sun, Xiaoling; Zhu, Shushang; Jiang, Rujun; … - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 454-471
Persistent link: https://www.econbiz.de/10011948064
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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491
Persistent link: https://www.econbiz.de/10011948065
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Linear programming and the control of diffusion processes
Ahn, Andrew; Haugh, Martin B. - In: INFORMS journal on computing : JOC 27 (2015) 4, pp. 646-657
Persistent link: https://www.econbiz.de/10011422652
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On maximum speedup ratio of restart algorithm portfolios
Mostovyi, Oleksii; Prokopyev, Oleg A.; Shylo, Oleg V. - In: INFORMS journal on computing : JOC 25 (2013) 2, pp. 222-229
Persistent link: https://www.econbiz.de/10009753760
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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430
Persistent link: https://www.econbiz.de/10011291285
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Parallel scenario decomposition of risk-averse 0-1 stochastic programs
Deng, Yan; Ahmed, Shabbir; Shen, Siqian - In: INFORMS journal on computing : JOC 30 (2018) 1, pp. 90-105
Persistent link: https://www.econbiz.de/10011848149
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A distributed interior-point KKT solver for multistage stochastic optimization
Hübner, Jens; Schmidt, Martin; Steinbach, Marc C. - In: INFORMS journal on computing : JOC 29 (2017) 4, pp. 612-630
Persistent link: https://www.econbiz.de/10011772414
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On the numerical analysis of inhomogeneous continuous-time Markov chains
Arns, Markus; Buchholz, Peter; Panchenko, Andriy - In: INFORMS journal on computing : JOC 22 (2010) 3, pp. 416-432
Persistent link: https://www.econbiz.de/10008651611
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Machine learning approaches for early DRG classification and resource allocation
Gartner, Daniel; Kolisch, Rainer; Neill, Daniel B.; … - In: INFORMS journal on computing : JOC 27 (2015) 4, pp. 718-734
Persistent link: https://www.econbiz.de/10011422689
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Enriching solutions to combinatorial problems via solution engineering
Petit, Thierry; Trapp, Andrew C. - In: INFORMS journal on computing : JOC 31 (2019) 3, pp. 429-444
Persistent link: https://www.econbiz.de/10012061783