This paper gives an algorithm for L-shaped linear programs which arise naturally in optimal control problems with state constraints and stochastic linear programs (which can be represented in this ...

In this paper, we introduce an approach for constructing uncertainty sets for robust optimization using new deviation measures for random variables termed the forward and backward deviations. These ...

You are currently accessing Risk.net via your Enterprise account. If you already have an account please use the link below to sign in. If you have any problems with your access or would like to ...

We consider optimal consumption and (strategic) asset allocation of an investor with uncertain lifetime. The problem is solved using a multi-stage stochastic linear programming (SLP) model to ...