Test problems in stochastic multistage programming
Journal
Optimization
ISSN
0233-1934
ISSN-Digital
1029-4945
Type
journal article
Date Issued
2000
Author(s)
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.
Language
English
Keywords
stochastic multistage programming
barycentric approximation
interest rate models
test problems
HSG Classification
not classified
Refereed
Yes
Publisher
Taylor & Francis
Publisher place
Reading
Volume
47
Number
3/4
Start page
267
End page
285
Pages
19
Subject(s)
Division(s)
Eprints ID
7089
File(s)![Thumbnail Image]()
Loading...
open.access
Name
Frauendorfer_Haarbrücker_TestProblemsInStochasticMultistageProgramming.pdf
Size
218.25 KB
Format
Adobe PDF
Checksum (MD5)
318279ee3d646bb4e1e81ab50245a07f