Displaying similar documents to “Stochastic goal programming wth recourse”

Stochastic geometric programming with an application

Jitka Dupačová (2010)

Kybernetika

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In applications of geometric programming, some coefficients and/or exponents may not be precisely known. Stochastic geometric programming can be used to deal with such situations. In this paper, we shall indicate which stochastic programming approaches and which structural and distributional assumptions do not destroy the favorable structure of geometric programs. The already recognized possibilities are extended for a tracking model and stochastic sensitivity analysis is presented in...

Multistage risk premiums in portfolio optimization

Miloš Kopa, Barbora Petrová (2017)

Kybernetika

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This paper deals with a multistage stochastic programming portfolio selection problem with a new type of risk premium constraints. These risk premiums are constructed on the multistage scenario tree. Two ways of the construction are introduced and compared. The risk premiums are incorporated in the multistage stochastic programming portfolio selection problem. The problem maximizes the multivariate (multiperiod) utility function under condition that the multistage risk premiums are smaller...

Stochastic dynamic programming with random disturbances

Regina Hildenbrandt (2003)

Discussiones Mathematicae Probability and Statistics

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Several peculiarities of stochastic dynamic programming problems where random vectors are observed before the decision ismade at each stage are discussed in the first part of this paper. Surrogate problems are given for such problems with distance properties (for instance, transportation problems) in the second part.