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dc.contributor.authorKaut, Michalnb_NO
dc.date.accessioned2014-12-19T13:56:57Z
dc.date.available2014-12-19T13:56:57Z
dc.date.created2003-08-25nb_NO
dc.date.issued2003nb_NO
dc.identifier122673nb_NO
dc.identifier.isbn82-471-5606-7nb_NO
dc.identifier.urihttp://hdl.handle.net/11250/258115
dc.description.abstractIn recent years, stochastic programming has gained an increasing popularity within the mathematical programming community, mainly because the present computing power allows users to add stochasticity to models that were difficult to solve in deterministic versions only a few years ago. For general information about stochastic programming, see for example Dantzig (1955); Birge and Louveaux (1997), or Kall and Wallace (1994). As a result, a lot of research has been done on various aspects of stochastic programming. However, scenario generation has remained out of the main field of interest. In this thesis, we try to explain the importance of scenario generation for stochastic programming, as well as provide some methods for both generating the scenarios and testing their quality.nb_NO
dc.languageengnb_NO
dc.publisherFakultet for informasjonsteknologi, matematikk og elektroteknikknb_NO
dc.relation.ispartofseriesDr. ingeniøravhandling, 0809-103X; 2003:55nb_NO
dc.relation.haspartKaut, Michal; Wallace, Stein W.. Evaluation of scenario-generation methods for stochastic programming. Pacific Journal of Optimizalation. 3(2): 257-271, 2007.nb_NO
dc.relation.haspartKaut, Michal; Vladimirou, H.; Wallace, Stein W.; Zenios, S.A.. Stability analysis of portfolio management with conditional value-at-risk. QUANTITATIVE FINANCE. 7(4): 397-409, 2007.nb_NO
dc.relation.haspartHøyland, K.; Kaut, Michal; Wallace, Stein W.. A heuristic for moment-matching scenario generation. Computational Optimization and Applications (The original publication is available at www.springerlink.com). 24(2-3): 169-185, 2003.nb_NO
dc.relation.haspartKaut, Michal; Wallace, Stein W.. Multi-period scenario tree generation using moment-matching: Example from option pricing. .nb_NO
dc.titleScenario tree generation for stochastic programming : cases from financenb_NO
dc.typeDoctoral thesisnb_NO
dc.source.pagenumber134nb_NO
dc.contributor.departmentNorges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fagnb_NO
dc.description.degreedr.ing.nb_NO
dc.description.degreedr.ing.en_GB


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