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STOCHASTIC PROGRAMMING WITH RANDOM PROCESSES.
- Source :
- Annals of Operations Research; 1991, Vol. 30 Issue 1-4, p95-105, 11p
- Publication Year :
- 1991
-
Abstract
- Three possible approaches to stochastic programming problems defined in time (so that they contain random processes) are described in this paper: (1) an application of the extremal theory of random processes; (2) an exponential penalty model approach related to scenario analysis; (3) a modification of the entropic penalty approach. Explicit results are derived for some special cases. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02545330
- Volume :
- 30
- Issue :
- 1-4
- Database :
- Complementary Index
- Journal :
- Annals of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 18660481
- Full Text :
- https://doi.org/10.1007/BF02204811