Testing the structure of multistage stochastic programs |
| |
| Authors: | Jitka Dupačová Marida Bertocchi Vittorio Moriggia |
| |
| Institution: | (1) Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics Charles University in Prague, Sokolovská 83, 186 75 Praha, Czech Republic;(2) Department of Mathematics, Statistic, Computer Science and Applications, Bergamo University, Via dei Caniana 2, Bergamo, 24127, Italy |
| |
| Abstract: | A fixed topology of stages and/or a fixed branching scheme are common assumptions for applications and numerical solution
of scenario based multistage stochastic programs. Using contamination technique to test this structure, we extend the results
of Dupačová (Contamination for multistage stochastic programs. In: Hušková M, Janžura M (eds) Prague stochastics. Matfyzpress,
Praha, pp 91–101, 2006a) to stochastic programs with multistage polyhedral risk objectives. The ideas are exemplified by bond
portfolio management problems and complemented by illustrative numerical results. |
| |
| Keywords: | Contamination Additional stages Out-of-sample scenarios Polyhedral risk objectives Bond portfolio management |
| 本文献已被 SpringerLink 等数据库收录！ |
|
