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Stochastic Programming: Resolving Uncertainty with Barycentric Approximation

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abstract The presentation intends to provide insights into the basic ideas of stochastic programming (a field of activity within mathematical programming) paying particular attention to the methodological concept of barycentric approximation. It will be presented in light of an actual problem: the optimal funding of variable rate mortgages.
   
type book chapter (English)
   
keywords
   
book title Prix Latsis universitaires. 1995, présentation des travaux des trois lauréats / Fondation Latsis internationale
date of appearance 1995
publisher Fondation Latsis internationale (Genève)
series title Fondation Latsis internationale (4)
page(s) 17-29
citation Frauendorfer, K. (1995). Stochastic Programming: Resolving Uncertainty with Barycentric Approximation. In Prix Latsis universitaires. 1995, présentation des travaux des trois lauréats / Fondation Latsis internationale (pp. 17-29). Genève: Fondation Latsis internationale.