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Test Problems in Stochastic Multistage Programming

abstract This paper provides a set of stochastic multistage programs where the evolvement of uncertain factors is given by stochastic processes. We treat a practical problem statement within the field of managing fixed-income securities. Detailed information on the used parameter values in various interest rate models is given. Barycentric approximation is applied to obtain computational results; different measures of the achieved goodness of approximation are indicated.
   
type journal paper
   
keywords stochastic multistage programming, barycentric approximation, interest rate models, test problems
   
language English
kind of paper journal article
date of appearance 2000
journal Optimization
publisher Taylor & Francis (Abingdon, Oxon, UK)
ISSN 0233-1934
ISSN (online) 1029-4945
volume of journal 47
number of issue 3/4
page(s) 267-285
review double-blind review
   
citation Frauendorfer, K., & Haarbrücker, G. (2000). Test Problems in Stochastic Multistage Programming. Optimization, 47(3/4), 267-285.