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The persistence and effectiveness of large-scale mathematical programming strategies : projection, outer linearization, and inner linearization

Birge, John R. - In: A long view of research and practice in operations …, (pp. 23-33). 2010

Persistent link: https://www.econbiz.de/10008901617

Decomposition and partitioning methods for multistage stochastic linear programs

Birge, John R. - In: Operations research 33 (1985) 5, pp. 989-1007

Persistent link: https://www.econbiz.de/10001019478

George Bernard Dantzig

Birge, John R. - In: Production and operations management : the flagship … 31 (2022) 5, pp. 1909-1911

Persistent link: https://www.econbiz.de/10013277012

Bounding the expectation of convex functions with limited distribution information

Birge, John R.; Dulá, José H. - 1987

Persistent link: https://www.econbiz.de/10000747235

Aggregation in dynamic programming

Bean, James C. - In: Operations research 35 (1987) 2, pp. 215-220

Persistent link: https://www.econbiz.de/10001045842

Bi-level programing merger evaluation and application to banking operations

Wu, Desheng Dash; Luo, Cuicui; Wang, Haofei; Birge, John R. - In: Production and operations management : an international … 25 (2016) 3, pp. 498-515

Persistent link: https://www.econbiz.de/10011458278

Incorporating investment uncertainty into greenhouse policy models

Birge, John R. - In: The energy journal 17 (1996) 1, pp. 79-90

Persistent link: https://www.econbiz.de/10001195561

A multicut algorithm for two-stage stochastic linear programs

Birge, John R. - In: European journal of operational research : EJOR 3 (1988), pp. 384-392

Persistent link: https://www.econbiz.de/10001066067

The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems

Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas - In: Quantitative finance 22 (2022) 1, pp. 95-112

Persistent link: https://www.econbiz.de/10012872523

Local Discontinuous Galerkin Method for Portfolio Optimization with Transaction Costs

Birge, John R. - 2015

We study the continuous time portfolio selection problem over a finite horizon for an investor who maximizes the expected utility of terminal wealth and faces transaction costs. The portfolio consists of a risk-free asset, and a risky asset whose price is modeled as a geometric Brownian motion....

Persistent link: https://www.econbiz.de/10013013756