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内部出版物
在“
SpringerLink电子期刊
”中,
命中:
4
条,耗时:小于0.01 秒
1.
SDDP for multistage stochastic programs: preprocessing via scenario reduction
作者:
Jitka Dupačová
;
Václav
Kozmí
k
关键词:
Multistage stochastic programs
;
Stochastic dual dynamic programming
;
Multiperiod CVaR
;
Scenario reduction
刊名:Computational Management Science
出版年:2017
2.
Evaluating policies in risk-averse multi-stage stochastic programming
作者:
Václav
Kozmí
k
;
David P. Morton
关键词:
Multi
;
stage stochastic programming
;
Stochastic dual dynamic programming
;
Importance sampling
;
Risk
;
averse optimization
;
90C15
;
49M27
刊名:Mathematical Programming
出版年:2015
3.
Structure of risk-averse multistage stochastic programs
作者:
Jitka Dupa?ová
;
Václav
Kozmí
k
关键词:
Multistage stochastic programming
;
Multiperiod risk measures
;
Stochastic dual dynamic programming
;
Contamination
;
90C15
;
90C31
刊名:OR Spectrum
出版年:2015
4.
On variance reduction of mean-CVaR Monte Carlo estimators
作者:
Václav
Kozmí
k
关键词:
Importance sampling
;
Risk
;
averse optimization
;
Monte Carlo sampling
;
Stochastic dual dynamic programming
;
65C05
;
90C15
;
91G60
刊名:Computational Management Science
出版年:2015
1
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