Contamination for Multistage Stochastic Programs

Contamination technique will be examined as a possible approach to robustness analysis of results obtained for multistage stochastic linear programs with respect to changes of their structure or of the input data. We shall focus on the case when the already selected scenario tree gets extended for additional (stress or out-of-sample) scenarios and/or additional stages. MSC 2000: 90C15, 90C31

[1]  J. Dupacová.  Reflections on Output Analysis for Multistage Stochastic Linear Programs , 2004 .

[2]  Peter Kall,et al.  Stochastic Programming , 1995 .

[3]  J. Dupacová,et al.  Stochastic modeling in economics and finance , 2002 .

[4]  R. Wets,et al.  Stochastic programming , 1989 .

[5]  Rolf Poulsen,et al.  A two-factor, stochastic programming model of Danish mortgage-backed securities , 2004 .

[6]  Vittorio Moriggia,et al.  Postoptimality for Scenario Based Financial Planning Models with an Application to Bond Portfolio Management , 1998 .

[7]  Jeremy F. Shapiro,et al.  Stochastic programming models for dedicated portfolio selection , 1988 .

[8]  Werner Römisch,et al.  Stability of Multistage Stochastic Programs , 2006, SIAM J. Optim..

[9]  Jitka Dupacová,et al.  Scenarios for Multistage Stochastic Programs , 2000, Ann. Oper. Res..

[10]  J. Dupacová.  Stability in stochastic programming with recourse. Contaminated distributions , 1986 .

[11]  A. Shapiro.  Statistical inference of multistage stochastic programming problems , 2001 .

[12]  Jitka Dupacová,et al.  Postoptimality for multistage stochastic linear programs , 1995, Ann. Oper. Res..

[13]  Jitka Dupacová,et al.  Scenario-based stochastic programs: Resistance with respect to sample , 1996, Ann. Oper. Res..

[14]  Thorsten Rheinländer.  Risk Management: Value at Risk and Beyond , 2003 .

[15]  Vittorio Moriggia,et al.  Bond portfolio management via stochastic programming , 2008 .

[16]  J. Dupacová,et al.  Scenario reduction in stochastic programming: An approach using probability metrics , 2000 .

[17]  M. Dempster,et al.  Risk Management: Dynamic Portfolio Replication Using Stochastic Programming , 2002 .

[18]  Gautam Mitra,et al.  Mathematical Models for Decision Support , 1987, NATO ASI Series.

[19]  Dyneley Hussey,et al.  Annals of Opera , 1943 .

[20]  Michael A. H. Dempster,et al.  Planning logistics operations in the oil industry , 2000, J. Oper. Res. Soc..

[21]  R. Serfling.  Approximation Theorems of Mathematical Statistics , 1980 .

[22]  Jitka Dupačová,et al.  Stress Testing via Contamination , 2004, Coping with Uncertainty.

[23]  Peter Kall,et al.  Stochastic Linear Programming , 1975 .