Advanced search
Publication Cover
Stochastics Volume 25, 1988 - Issue 1
Journal homepage
67
Views
44
CrossRef citations to date
0
Altmetric
Original Articles

On stochastic programming ii: dynamic problems under riskFootnote∗

M. A. H. Dempster Department of Mathematics, Statistics and Computing Science, Balliol College, Oxford, England, 0X13BJ, UK
Pages 15-42 | Received 23 Dec 1986, Published online: 04 Apr 2007

Citations (44)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (4)

E. A. Medova, J. K. Murphy, A. P. Owen & K. Rehman. (2008) Individual asset liability management. Quantitative Finance 8:6, pages 547-560.
Read now
M. A. H. Dempster, I. V. Evstigneev & S. A. Pirogov. (1998) Balanced states in stochastic economies with locally interacting agents. Stochastics and Stochastic Reports 64:3-4, pages 235-253.
Read now
Michèle Breton & Saeb El Hachem. (1995) A scenario aggregation algorithm for the solution of stochastic dynamic minimax problems. Stochastics and Stochastic Reports 53:3-4, pages 305-322.
Read now
Zvi Artstein. (1991) Sensitivity to σ-fields of information in stochastic allocation>. Stochastics and Stochastic Reports 36:1, pages 41-63.
Read now

Articles from other publishers (40)

Dane A. Schiro, Benjamin F. Hobbs & Jong-Shi Pang. (2015) Perfectly competitive capacity expansion games with risk-averse participants. Computational Optimization and Applications 65:2, pages 511-539.
Crossref
Kipp Martin, Christopher Thomas Ryan & Matt Stern. (2016) The Slater Conundrum: Duality and Pricing in Infinite-Dimensional Optimization. SIAM Journal on Optimization 26:1, pages 111-138.
Crossref
Erlon Cristian Finardi, Brigida Uarthe Decker & Vitor Luiz de Matos. (2013) An Introductory Tutorial on Stochastic Programming Using a Long-term Hydrothermal Scheduling Problem. Journal of Control, Automation and Electrical Systems 24:3, pages 361-376.
Crossref
M. A. H. Dempster & E. A. Medova. (2011) Asset liability management for individual households. British Actuarial Journal 16:2, pages 405-439.
Crossref
Juan M. Salazar & Urmila M. Diwekar. (2011) An efficient stochastic optimization framework for studying the impact of seasonal variation on the minimum water consumption of pulverized coal (PC) power plants. Energy Systems 2:3-4, pages 263-279.
Crossref
Giorgio Consigli. 2008. Handbook of Asset and Liability Management. Handbook of Asset and Liability Management 751 827 .
Igor Evstigneev & Sjur Didrik Flåm. 2009. Encyclopedia of Optimization. Encyclopedia of Optimization 3783 3789 .
Giorgio Consigli. 2007. Applications and Case Studies. Applications and Case Studies 751 827 .
John R. Birge. 2007. Financial Engineering. Financial Engineering 845 865 .
M. A. H. Dempster. (2006) Sequential Importance Sampling Algorithms for Dynamic Stochastic Programming. Journal of Mathematical Sciences 133:4, pages 1422-1444.
Crossref
Julia L. Higle & Suvrajeet Sen. (2006) Multistage stochastic convex programs: Duality and its implications. Annals of Operations Research 142:1, pages 129-146.
Crossref
Peter Kall & János Mayer. 2004. Dynamic Stochastic Optimization. Dynamic Stochastic Optimization 21 41 .
H.W. Moritsch & G.C. Pflug. (2003) Using a distributed active tree in Java for the parallel and distributed implementation of a nested optimization algorithm. Using a distributed active tree in Java for the parallel and distributed implementation of a nested optimization algorithm.
M. A. H. Dempster, M. Germano, E. A. Medova & M. Villaverde. (2011) Global Asset Liability Management. British Actuarial Journal 9:01, pages 137-195.
Crossref
Rüdiger Schultz. 2003. System Modeling and Optimization XX. System Modeling and Optimization XX 169 188 .
Hans W. Moritsch, G. Ch. Pflug & M. Siomak. (2001) Asynchronous nested optimization algorithms and their parallel implementation. Wuhan University Journal of Natural Sciences 6:1-2, pages 560-567.
Crossref
Marc C. Steinbach. (2001) Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis. SIAM Review 43:1, pages 31-85.
Crossref
Werner Römisch & Rüdiger Schultz. 2001. Online Optimization of Large Scale Systems. Online Optimization of Large Scale Systems 581 600 .
Igor Evstigneev & Sjur Didrik Flåm. 2001. Encyclopedia of Optimization. Encyclopedia of Optimization 2506 2512 .
John R. Birge. (2000) Option Methods for Incorporating Risk into Linear Capacity Planning Models. Manufacturing & Service Operations Management 2:1, pages 19-31.
Crossref
Julia L. Higle & Suvrajeet Sen. 2000. System Modelling and Optimization. System Modelling and Optimization 179 188 .
L.F. Escudero, E. Galindo, G. Garcı́a, E. Gómez & V. Sabau. (1999) Schumann, a modeling framework for supply chain management under uncertainty. European Journal of Operational Research 119:1, pages 14-34.
Crossref
Elio Canestrelli & Silvio Giove. 1999. Current Topics in Quantitative Finance. Current Topics in Quantitative Finance 25 36 .
Darinka Dentcheva & Werner Römisch. 1998. Stochastic Programming Methods and Technical Applications. Stochastic Programming Methods and Technical Applications 22 56 .
Z. Chen, G. Consigli, M. A. H. Dempster & N. Hicks-Pedrón.. 1998. Operational Tools in the Management of Financial Risks. Operational Tools in the Management of Financial Risks 197 211 .
E. Messina & G. Mitra. (1997) Modelling and analysis of multistage stochastic programming problems: A software environment. European Journal of Operational Research 101:2, pages 343-359.
Crossref
John R. Birge & M. A. H. Dempstert. (1996) Stochastic programming approaches to stochastic scheduling. Journal of Global Optimization 9:3-4, pages 417-451.
Crossref
Karl Frauendorfer. (1996) Barycentric scenario trees in convex multistage stochastic programming. Mathematical Programming 75:2, pages 277-293.
Crossref
Julia L. Higle & Suvrajeet Sen. (1996) Duality and statistical tests of optimality for two stage stochastic programs. Mathematical Programming 75:2, pages 257-275.
Crossref
John R. Birge. (1995) Models and model value in stochastic programming. Annals of Operations Research 59:1, pages 1-18.
Crossref
Olga Fiedler & Werner Römisch. (1995) Stability in multistage stochastic programming. Annals of Operations Research 56:1, pages 79-93.
Crossref
Michèle Breton & Saeb El Hachem. (1995) Algorithms for the solution of stochastic dynamic minimax problems. Computational Optimization and Applications 4:4, pages 317-345.
Crossref
L. F. Escudero & P. V. Kamesam. (1995) On solving stochastic production planning problems via scenario modelling. Top 3:1, pages 69-95.
Crossref
John R. Birge & M.A.H. Dempster. (1995) Optimal match-up strategies in stochastic scheduling. Discrete Applied Mathematics 57:2-3, pages 105-120.
Crossref
Karl Frauendorfer. (1994) The approximation of separable stochastic programs. Journal of Computational and Applied Mathematics 56:1-2, pages 23-44.
Crossref
R. T. Rockafellar & Roger J.‐B. Wets. (2006) A dual strategy for the implementation of the aggregation principle in decision making under uncertainty. Applied Stochastic Models and Data Analysis 8:3, pages 245-255.
Crossref
John M. Mulvey & Hercules Vladimirou. (2006) Solving multistage stochastic networks: An application of scenario aggregation. Networks 21:6, pages 619-643.
Crossref
M.A.H. Dempster & R.T. Thompson. (1997) EVPI-Based Importance Sampling Solution Procedures for Multistage Stochastic Linear Programmes on Parallel MIMD Architectures. SSRN Electronic Journal.
Crossref
M.A.H. Dempster & R.T. Thompson. (1997) Parallelization and Aggregation of Nested Benders Decomposition. SSRN Electronic Journal.
Crossref
Giorgio Consigli & M.A.H. Dempster. (1998) Dynamic Stochastic Programming For Asset-liability Management. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.