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An augmented Lagrangian filter method
Leyffer, Sven; Vanaret, Charlie - In: Mathematical methods of operations research : ZOR 92 (2020) 2, pp. 343-376
Persistent link: https://www.econbiz.de/10012395579
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An algorithm for two-stage stochastic mixed-integer nonlinear convex problems
Mijangos, Eugenio - 2015
Persistent link: https://www.econbiz.de/10011487057
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Optimal Formulations for Nonlinear Autoregressive Processes
Blasques, Francisco - 2014
theoretic optimality of the score driven nonlinear autoregressive process and the asymptotic theory for maximum likelihood …
Persistent link: https://www.econbiz.de/10013049359
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Asymmetry and ambiguity in newsvendor models
Natarajan, Karthik; Sim, Melvyn; Uichanco, Joline - In: Management science : journal of the Institute for … 64 (2018) 7, pp. 3146-3167
Persistent link: https://www.econbiz.de/10011899740
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An extended regularized Kalman filter based on Genetic Algorithm : application to dynamic asset pricing models
Jiang, Minqi; Liu, Jiapeng; Zhang, Lu - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 28-44
Persistent link: https://www.econbiz.de/10012655014
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On the impact of deep learning-based time-series forecasts on multistage stochastic programming policies
Wang, Juyoung; Cevik, Mucahit; Bodur, Merve - In: INFOR : information systems and operational research 60 (2022) 2, pp. 133-164
Persistent link: https://www.econbiz.de/10013271181
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A stochastic program with time series and affine decision rules for the reservoir management problem
Gauvin, Charles; Delage, Erick; Gendreau, Michel - In: European journal of operational research : EJOR 267 (2018) 2, pp. 716-732
Persistent link: https://www.econbiz.de/10011812732
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A successive linear programming algorithm with non-linear time series for the reservoir management problem
Gauvin, Charles; Delage, Erick; Gendreau, Michel - In: Computational Management Science : CMS 15 (2018) 1, pp. 55-86
Persistent link: https://www.econbiz.de/10011860866
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Stochastic Models for the Disaggregation of Precipitation Time Series on Sub-Daily Scale : Identification of Parameters by Global Optimization
Villani, Veronica; Di Serafino, Daniela; Guido, Rianna; … - 2015
Stochastic disaggregation model, based on coupling of the modified version of the Bartlett-Lewis Rectangular Pulse stochastic rainfall model and proportional adjusting procedure, is shown to disaggregate daily observed precipitation to hourly scale. Furthermore synthetic hourly time series are...
Persistent link: https://www.econbiz.de/10014135930