Overview Statistic: PDF-Downloads (blue) and Frontdoor-Views (gray)
The search result changed since you submitted your search request. Documents might be displayed in a different sort order.
  • search hit 9 of 25
Back to Result List

General Information Constraints in Stochastic Programs

Please always quote using this URN: urn:nbn:de:0297-zib-6502
  • Scenario tree models of stochastic programs arise naturally under standard nonanticipativity assumptions. We demonstrate how tree-sparse programs cover the general case, with \emph{arbitrary} information constraints. Detailed examples and intuitive interpretations illuminate the basic thoughts behind the abstract but elementary construction.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar Statistics - number of accesses to the document
Metadaten
Author:Marc Steinbach
Document Type:ZIB-Report
Tag:filtrations; general nonanticipativity; information constraints; scenarios; sigma-fields; stochastic programs; tree-sparse programs
MSC-Classification:60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G99 None of the above, but in this section
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
Date of first Publication:2001/09/28
Series (Serial Number):ZIB-Report (01-24)
ZIB-Reportnumber:01-24
Accept ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.