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Volumn 50, Issue 3-4, 2009, Pages 245-251

Particle filters in decision making problems under uncertainty

Author keywords

Particle filters; Scenario trees; Uncertainty representation

Indexed keywords


EID: 77952903903     PISSN: 00051144     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article
Times cited : (4)

References (19)
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    • Financial planning via mutistage stochastic optimization
    • J. M. Mulvey, B. Shetty, Financial planning via mutistage stochastic optimization, Computers & Operations Research, pp. 1-20, 2004.
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    • Mulvey, J.M.1    Shetty, B.2
  • 4
    • 0035261934 scopus 로고    scopus 로고
    • Generating scenario trees for multistage decision problems
    • K. Hoyland, S. W. Wallace, Generating Scenario Trees for Multistage Decision Problems, Management Science, pp. 295-307, 2001.
    • (2001) Management Science , pp. 295-307
    • Hoyland, K.1    Wallace, S.W.2
  • 5
    • 2042499464 scopus 로고
    • The effect of errors inmeans, variances, and covariances on optimal portfolio choice
    • V. K. Chopra, W. T. Ziemba, The effect of errors inmeans, variances, and covariances on optimal portfolio choice, Journal of Portfolio Management, pp. 6-11, 1993.
    • (1993) Journal of Portfolio Management , pp. 6-11
    • Chopra, V.K.1    Ziemba, W.T.2
  • 7
    • 0000662045 scopus 로고
    • International portfolio diversification with estimation risk
    • P. Jorion, International portfolio diversification with estimation risk, Journal of Business, pp. 259-278. 1985.
    • (1985) Journal of Business , pp. 259-278
    • Jorion, P.1
  • 10
    • 0013270047 scopus 로고    scopus 로고
    • Scenario tree generation formultiperiod financial optimization by optimal discretization
    • Pflug, G., Scenario tree generation formultiperiod financial optimization by optimal discretization, Mathematical Programming, 251-271, 2001.
    • (2001) Mathematical Programming , pp. 251-271
    • Pflug, G.1
  • 12
    • 33746617386 scopus 로고    scopus 로고
    • Improving portfolio efficiency: A genetic algorithm approach
    • X. Yang, Improving Portfolio Efficiency: A Genetic Algorithm Approach, Computational Economics 2006.
    • (2006) Computational Economics
    • Yang, X.1
  • 15
    • 0027580559 scopus 로고
    • Novel approach to nonlinear/non-Gaussian Bayesian state estimation
    • N. Gordon, D. J. Salmond, A. F. Smith, Novel approach to nonlinear/non-Gaussian Bayesian state estimation, IEE Proceedings, 1993.
    • (1993) IEE Proceedings
    • Gordon, N.1    Salmond, D.J.2    Smith, A.F.3
  • 18
    • 33751071102 scopus 로고    scopus 로고
    • Scenario reduction in stochastic programming - An approach using probability metrics
    • J. Dupaĉová, N. Gröwe-Kuska, W. Römisch, Scenario reduction in stochastic programming - An approach using probability metrics, Mathematical Programming, 2003.
    • (2003) Mathematical Programming
    • Dupaĉová, J.1    Gröwe-Kuska, N.2    Römisch, W.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.