SCOPUS 정보 검색 플랫폼

Journal of Computational and Applied Mathematics

Volumn 129, Issue 1-2, 2001, Pages 105-138

Multistage quadratic stochastic programming

(2) Lau, Karen K a Womersley, Robert S a

a UNIVERSITY OF NEW SOUTH WALES (Australia)

Author keywords

Generalized newton method; Multistage; Piecewise quadratic function; Stochastic programming

Indexed keywords

ALGORITHMS; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIATION (CALCULUS); FUNCTIONS; PIECEWISE LINEAR TECHNIQUES; PROBLEM SOLVING; RANDOM PROCESSES; TREES (MATHEMATICS);

OBJECTIVE FUNCTIONS; QUADRATIC STOCHASTIC PROGRAMMING (QSP);

QUADRATIC PROGRAMMING;

STOCHASTIC METHOD;

EID: 0035300972 PISSN: 03770427 EISSN: None Source Type: Journal
DOI: 10.1016/S0377-0427(00)00545-8 Document Type: Article

Times cited : (18)

References (42)

1
- 0003787146
- Princeton University Press, New Jersey
- (1957) Dynamic Programming
- Bellman, R.¹

2
- 9644308639
- Partitioning procedures for solving mixed-variables programming problems
- (1962) Numer. Math , vol.4 , pp. 238-252
- Benders, J.F.¹

3
- 0001106861
- An extension of the DQA algorithm to convex stochastic programs
- (1994) SIAM J. Optim , vol.4 , pp. 735-753
- Berger, A.J.¹ Mulvey, J.M.² Ruszczyński, A.³

4
- 0003565783
- Prentice-Hall, Englewood Cliffs, NJ
- (1995) Dynamic Programming and Optimal Control
- Bertsekas, D.P.¹

5
- 0003939480
- Springer, New York
- (1997) Introduction to Stochastic Programming
- Birge, J.R.¹ Louveaux, F.²

6
- 21344469634
- Parallel decomposition of large scale stochastic nonlinear programs
- (1996) Ann. Oper. Res , vol.64 , pp. 39-65
- Birge, J.R.¹ Rosa, C.H.²

7
- 0001913097
- Newton's method for quadratic stochastic programs with recourse
- (1995) J. Comput. Appl. Math , vol.60 , pp. 29-46
- Chen, X.¹ Qi, L.² Womersley, R.S.³

8
- 21344434512
- A parallel inexact Newton method for stochastic programs with recourse
- (1996) Ann. Oper. Res , vol.64 , pp. 113-141
- Chen, X.¹ Womersley, R.S.²

9
- 0001391104
- The decomposition principle for linear programs
- (1960) Oper. Res , vol.8 , pp. 101-111
- Dantzig, G.B.¹ Wolfe, P.²

10
- 0003814609
- Academic Press, New York
- (1983) Introduction to Sensitivity and Stability Analysis in Nonlinear Programming, Mathematics in Science and Engineering , vol.165
- Fiacco, A.V.¹

11
- 0003768769
- Wiley, Chichester
- (1987) Practical Methods of Optimization
- Fletcher, R.¹

12
- 0004144036
- Springer, Berlin, 1992. Habilitationsschrift, University of Zürich, Zürich
- (1992) Stochastic Two-Stage Programming
- Frauendorfer, K.¹

13
- 0004240547
- Academic Press, New York
- (1981) Practical Optimization
- Gill, P.E.¹ Murray, W.² Wright, M.H.³

14
- 0002075975
- Asset allocation in a downside-risk framework
- (1991) Financial Anal. J , vol.47 , pp. 28-40
- Harlow, W.V.¹

15
- 0003316862
- Convex analysis and minimization algorithms I and II
- Springer, Berlin
- (1993) Grundlehren Der Mathematischen Wissenschaften , vol.306
- Hiriart-Urruty, J.-B.¹ Lemaréchal, C.²

16
- 0000192591
- Cut sharing for multistage stochastic linear programs with interstage dependency
- (1996) Math. Programming , vol.75 , pp. 241-256
- Infanger, G.¹ Morton, D.P.²

17
- 0003410673
- Wiley, Chichester
- (1994) Stochastic Programming
- Kall, P.¹ Wallace, S.W.²

18
- 21344477659
- Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
- (1993) Ann. Oper. Res , vol.45 , pp. 165-178
- King, A.J.¹

19
- 0004650669
- Ph.D. Thesis, School of Mathematics, The University of New South Wales, Sydney, Australia
- (1999) Multistage Quadratic Stochastic Programming
- Lau, K.K.¹

20
- 0019035580
- A solution method for multistage stochastic programs with recourse with application to an energy investment problem
- (1980) Oper. Res , vol.28 , pp. 889-902
- Louveaux, F.¹

21
- 84995186518
- Portfolio selection
- (1952) J. Finance , vol.8 , pp. 77-91
- Markowitz, H.M.¹

22
- 0004720645
- The Mathworks, Inc., Natick, MA 01760-1500

23
- 0000012763
- Semismooth and semiconvex functions in constrained optimization
- (1977) SIAM J. Control Optim , vol.15 , pp. 957-972
- Mifflin, R.B.¹

24
- 21344469142
- An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling
- (1996) Ann. Oper. Res , vol.64 , pp. 211-235
- Morton, D.P.¹

25
- 0000937493
- A new scenario decomposition method for large-scale stochastic optimization
- (1995) Oper. Res , vol.43 , pp. 477-490
- Mulvey, J.M.¹ Ruszczyński, A.²

26
- 0003098115
- Minimization of locally Lipschitzian function
- (1991) SIAM J. Optim , vol.1 , pp. 57-82
- Pang, J.-S.¹ Han, S.-P.² Rangaraj, N.³

27
- 21844494543
- 1 minimization problems
- (1995) J. Optim. Theory Appl , vol.85 , pp. 633-648
- Pang, J.-S.¹ Qi, L.²

28
- 0027543961
- A nonsmooth version of Newton's method
- (1993) Math. Programming , vol.58 , pp. 353-367
- Qi, L.¹ Sun, J.²

29
- 0004267646
- Princeton University Press, Princeton, NJ
- (1970) Convex Analysis
- Rockafellar, R.T.¹

30
- 0023347574
- Linear-quadratic programming and optimal control
- (1987) SIAM J. Control Optim , vol.25 , pp. 781-814
- Rockafellar, R.T.¹

31
- 0022699539
- A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
- (1986) Math. Programming Study , vol.28 , pp. 63-93
- Rockafellar, R.T.¹ Wets, R.J.-B.²

32
- 0004038871
- Academic Press, New York
- (1983) Introduction to Stochastic Dynamic Programming
- Ross, S.¹

33
- 0004653131
- Senior Design Project, Department of Industrial and Operations Engineering, University of Michigan, Ann Arbor
- (1992) Use of a Stochastic Capacity Planning Model to Find the Optimal Level of Flexibility for a Manufacturing System
- Sims, M.J.¹

34
- 0004690583
- Stochastic programming

35
- 0004653312
- Stochastic programming ftp archive

36
- 0004683286
- Ph.D. Thesis, University of Washington
- (1986) On Monotropic Piecewise Quadratic Programming
- Sun, J.¹

37
- 85141079113
- A study on monotropic piecewise quadratic programming
- S. Kumar (Ed.), Gordon and Breach Science Publishers, London
- (1991) Recent Developments in Mathematical Programming , pp. 213-235
- Sun, J.¹

38
- 0000919259
- On piecewise quadratic Newton and trust region problems
- (1997) Math. Programming , vol.76 , pp. 451-467
- Sun, J.¹

39
- 0014534894
- L-shaped linear programs with application to optimal control and stochastic programming
- (1969) SIAM J. Appl. Math , vol.17 , pp. 638-663
- Van Slyke, R.¹ Wets, R.J.-B.²

40
- 0003664630
- Princeton, Statistics and Operations Research Technical Report No. SOR-97-07
- (1997) LOQO User's Manual-Version 3.03
- Vanderbei, R.¹

41
- 0004675659
- Portfolio optimization
- R.L. May, A.K. Easton (Eds.), Word Scientific, Singapore
- (1996) Computational Techniques and Applications: CTAC95 , pp. 795-802
- Womersley, R.S.¹ Lau, K.K.²

42
- 0004212716
- Wiley, Chichester
- (1997) Interior Point Algorithms: Theory and Analysis
- Ye, Y.¹

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.