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Modelling history-dependent parameters in the SMPS format for stochastic programming.

Authors :
Gassmann, H. I.
Infanger, G.
Source :
IMA Journal of Management Mathematics; Jan2008, Vol. 19 Issue 1, p87-97, 11p, 1 Diagram
Publication Year :
2008

Abstract

This paper proposes two extensions to the SMPS format for stochastic programs to permit modelling of autoregressive-moving average (ARMA) processes. Sampling-based algorithms can thus proceed independently of any underlying modelling system, increasing efficiency. An illustrative example demonstrates the power of the new constructs. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
1471678X
Volume :
19
Issue :
1
Database :
Complementary Index
Journal :
IMA Journal of Management Mathematics
Publication Type :
Academic Journal
Accession number :
28773749
Full Text :
https://doi.org/10.1093/imman/dpm006