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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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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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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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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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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
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A computational approach to first passage problems of reflected hyperexponential jump diffusion processes
Cai, Ning; Yang, Xuewei - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
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Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
Zhang, Weini; Rahimian, Hamed; Bayraksan, Güzin - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 385-404
Persistent link: https://www.econbiz.de/10011538952
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Modeling and optimization of a spatial detection system
Lu, Fang; Hasenbein, John J.; Morton, David P. - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 512-526
Persistent link: https://www.econbiz.de/10011539006
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Multilevel optimization modeling for risk-averse stochastic programming
Eckstein, Jonathan; Eskandani, Deniz; Fan, Jingnan - In: INFORMS journal on computing : JOC 28 (2016) 1, pp. 112-128
Persistent link: https://www.econbiz.de/10011453805
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Solving large batches of linear programs
Lee, Ilbin; Curry, Stewart; Serban, Nicoleta - In: INFORMS journal on computing : JOC 31 (2019) 2, pp. 302-317
Persistent link: https://www.econbiz.de/10012036782