A practical implementation of stochastic programming: An application to the evaluation of option contracts in supply chains

Automatica

Volumn 40, Issue 5, 2004, Pages 743-756

  Van Delft, Ch ^a   Vial, J Ph ^b  

^a HEC PARIS   (France)

^b UNIVERSITY OF GENEVA   (Switzerland)

Author keywords

Algebraic modeling language; Event tree; Linear stochastic programming; Sequential decision making problem

Indexed keywords

COMPUTER PROGRAMMING LANGUAGES; COMPUTER SIMULATION; DECISION MAKING; LINEAR PROGRAMMING; MATHEMATICAL MODELS; PROBLEM SOLVING; SEQUENTIAL MACHINES; TREES (MATHEMATICS); UNCERTAIN SYSTEMS;

ALGEBRAIC MODELING LANGUAGES; EVENT TREES; LINEAR STOCHASTIC PROGRAMMING; SEQUENTIAL DECISION MAKING PROBLEMS;

STOCHASTIC PROGRAMMING;

EID: 1642415786     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2003.12.008     Document Type: Article

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