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Convex duality in stochastic programming and mathematical finance
Convex duality stochastic programming mathematical finance
2010/10/20
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies ma...
Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Markov Processes Risk Analysis Stochastic Programming Scenarios
2010/10/29
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. I...