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Modelling and analysis of multistage stochastic programming problems: A software environment

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  • Messina, E.
  • Mitra, G.

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  • Messina, E. & Mitra, G., 1997. "Modelling and analysis of multistage stochastic programming problems: A software environment," European Journal of Operational Research, Elsevier, vol. 101(2), pages 343-359, September.
    • Handle: RePEc:eee:ejores:v:101:y:1997:i:2:p:343-359
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    1. Kenneth J. Worzel & Christiana Vassiadou-Zeniou & Stavros A. Zenios, 1994. "Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities," Operations Research, INFORMS, vol. 42(2), pages 223-233, April.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    3. Michel Gendreau & Gilbert Laporte & René Séguin, 1995. "An Exact Algorithm for the Vehicle Routing Problem with Stochastic Demands and Customers," Transportation Science, INFORMS, vol. 29(2), pages 143-155, May.
    4. George B. Dantzig, 1955. "Linear Programming under Uncertainty," Management Science, INFORMS, vol. 1(3-4), pages 197-206, 04-07.
    5. Irvin J. Lustig & John M. Mulvey & Tamra J. Carpenter, 1991. "Formulating Two-Stage Stochastic Programs for Interior Point Methods," Operations Research, INFORMS, vol. 39(5), pages 757-770, October.
    6. Julia L. Higle & Suvrajeet Sen, 1991. "Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse," Mathematics of Operations Research, INFORMS, vol. 16(3), pages 650-669, August.
    7. Robert E. Bixby & John W. Gregory & Irvin J. Lustig & Roy E. Marsten & David F. Shanno, 1992. "Very Large-Scale Linear Programming: A Case Study in Combining Interior Point and Simplex Methods," Operations Research, INFORMS, vol. 40(5), pages 885-897, October.
    8. M. I. Kusy & W. T. Ziemba, 1986. "A Bank Asset and Liability Management Model," Operations Research, INFORMS, vol. 34(3), pages 356-376, June.
    9. Golub, Bennett & Holmer, Martin & McKendall, Raymond & Pohlman, Lawrence & Zenios, Stavros A., 1995. "A stochastic programming model for money management," European Journal of Operational Research, Elsevier, vol. 85(2), pages 282-296, September.
    10. John M. Mulvey & Robert J. Vanderbei & Stavros A. Zenios, 1995. "Robust Optimization of Large-Scale Systems," Operations Research, INFORMS, vol. 43(2), pages 264-281, April.
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    Cited by:

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    2. Robert Fourer & Leo Lopes, 2009. "StAMPL: A Filtration-Oriented Modeling Tool for Multistage Stochastic Recourse Problems," INFORMS Journal on Computing, INFORMS, vol. 21(2), pages 242-256, May.
    3. Lokesh Nagar & Pankaj Dutta & Karuna Jain, 2014. "An integrated supply chain model for new products with imprecise production and supply under scenario dependent fuzzy random demand," International Journal of Systems Science, Taylor & Francis Journals, vol. 45(5), pages 873-887, May.

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