A mixed integer programming model for multistage mean-variance post-tax optimization.
Maria A. OsorioNalan GülpinarBerç RustemPublished in: Eur. J. Oper. Res. (2008)
Keyphrases
- multistage
- stochastic programming
- stochastic optimization
- production system
- single stage
- lot sizing
- dynamic programming
- optimization problems
- optimization method
- quadratic programming
- optimization algorithm
- portfolio selection
- joint optimization
- multistage stochastic
- optimal policy
- lot streaming
- multiple objectives
- production line
- robust optimization
- optimization model
- special case
- utility function
- cost function