Scenario tree generation for multiperiod financial optimization by optimal discretization.
Georg Ch. PflugPublished in: Math. Program. (2001)
Keyphrases
- optimal design
- optimization algorithm
- joint optimization
- optimal selection
- decision making
- binary search trees
- global optimization
- approximately optimal
- index structure
- tree structure
- robust optimization
- dynamic programming
- optimization problems
- binary decision tree
- portfolio optimization
- constrained optimization
- stock market
- preprocessing
- optimal strategy
- inventory models
- combinatorial optimization
- simultaneous optimization
- real world