Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: A multi-stage stochastic integer programming approach.
Sebastian MaierJohn W. PolakDavid M. GannPublished in: Comput. Oper. Res. (2020)
Keyphrases
- multistage
- integer programming
- influence diagrams
- stochastic programming
- stochastic optimization
- real option
- decision problems
- decision making
- np hard
- decision analysis
- assembly systems
- single stage
- sensitivity analysis
- linear programming
- probabilistic inference
- constraint programming
- dynamic programming
- column generation
- production planning
- lot sizing
- optimal policy
- network flow
- graphical models
- neural network
- monte carlo
- bayesian networks
- belief networks
- stochastic process
- expert systems
- support vector
- life cycle
- markov decision processes