Term Structure Models in Multistage Stochastic Programming: Estimation and Approximation.

Karl Frauendorfer Michael Schürle

Published in: Ann. Oper. Res. (2000)

Keyphrases

multistage
stochastic programming
chance constrained
capacity planning
linear program
lot sizing
production system
dynamic programming
robust optimization
single stage
multistage stochastic
optimal policy
asset liability management
model selection
probabilistic model
simulated annealing