Stochastic programming: Potential hazards when random variables reflect market interaction.
Kjetil K. HaugenStein W. WallacePublished in: Ann. Oper. Res. (2006)
Keyphrases
- random variables
- stochastic programming
- multistage
- graphical models
- chance constrained
- probability distribution
- power generation
- bayesian networks
- conditional independence
- linear program
- latent variables
- normal distribution
- distribution function
- joint distribution
- stochastic optimization problems
- decision making
- robust optimization
- conditional probabilities
- risk averse
- asset liability management
- independent and identically distributed
- conditionally independent
- random vectors
- lead time
- failure rate
- probabilistic inference
- linear programming
- semi supervised