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检索条件"主题词=progressive hedging algorithm"
56 条 记 录,以下是51-60 订阅
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A hybrid decomposition algorithm for designing a multi-modal transportation network under biomass supply uncertainty
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TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW 2016年 第0期94卷 1-25页
作者: Poudel, Sushil Raj Marufuzzaman, Mohammad Bian, Linkan Mississippi State Univ Dept Ind & Syst Engn Starkville MS 39759 USA
This study presents a two-stage stochastic programming model for the design and management of a biomass co-firing supply chain network under feedstock supply uncertainty. To represent a more realistic case, we generat... 详细信息
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(s, S) policy model for liner shipping refueling and sailing speed optimization problem
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TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW 2015年 第Apr.期76卷 76-92页
作者: Sheng, Xiaoming Chew, Ek Peng Lee, Loo Hay Natl Univ Singapore Dept Ind & Syst Engn Singapore 119260 Singapore Natl Univ Singapore Dept Ind & Syst Engn Singapore 117576 Singapore
This work expounds on implementing an effective dynamic (s, S) policy to solve a liner shipping refueling and speed determination problem under both bunker prices and consumption uncertainties. While solving an optimi... 详细信息
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Adaptive monitoring of the progressive hedging penalty for reservoir systems management
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ENERGY SYSTEMS-OPTIMIZATION MODELING SIMULATION AND ECONOMIC ASPECTS 2014年 第2期5卷 307-322页
作者: Zephyr, Luckny Lang, Pascal Lamond, Bernard F. Univ Laval Operat & Decis Syst Dept Laval PQ Canada
Reservoir systems operations problems are in essence stochastic because of the uncertain nature of natural inflows. This leads to very large stochastic models that may not be easy to handle numerically. In this paper,... 详细信息
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Dynamic Portfolio Optimization for Utility-Based Models
Dynamic Portfolio Optimization for Utility-Based Models
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International Conference on Information and Financial Engineering
作者: Fulga, Cristinca INCREST Bucharest Dept Math R-79622 Bucharest Romania
Portfolio management deals with the allocation of wealth among different investment opportunities, considering investor's preferences on risk. In this paper we consider a multiperiod model where the investor rebal... 详细信息
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Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach
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EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 2005年 第1期163卷 217-229页
作者: Barro, D Canestrelli, E Univ Venice Dipartimento Matemat Applicata I-30123 Venice Italy
We study a dynamic portfolio management problem over a finite horizon with transaction costs and a risk averse objective function. We assume that the uncertainty faced by the investor can be modelled or approximated u... 详细信息
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Structural properties of the progressive hedging algorithm
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Annals of Operations Research 1991年 第1期31卷 445-455页
作者: Wallace, Stein W. Helgason, Thorkell Haugesund Maritime College Haugesund N-5500 Skåregaten 103 Norway University of Iceland Reykjavík S-107 Dunhagi 3 Iceland
This short note discusses some structural properties of the progressive hedging algorithm. It is based on the finite case, but allows for event trees that are unbalanced and where the nodes can have a varying number o... 详细信息
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