Probabilistic constrained optimization : methodology and applications
Probabilistic constrained optimization : methodology and applications
复制标题
DOI：
--
复制
发表时间：
2000
期刊：
影响因子：
--
通讯作者：
S. Uryasev
中科院分区：
文献类型：
--
作者：
S. Uryasev
序言。概率函数和百分位数理论导论。乌里亚谢夫基于随机网格模型的美式期权定价。不可靠物流系统的优化。资产负债管理中的随机优化：非到期账户模型。弗劳恩多夫，M.舒尔分布函数空间的最优化及其在贝叶斯分析中的应用。概率优化问题最坏情况分布的灵敏度分析。A.I. Kan Kibzun。具有两种失效模式的串联系统的最大可靠性问题。近似协方差矩阵和风险值分析的稳健蒙特卡罗模拟A. Kreinin，A.莱文美式期权最优停止策略的结构。库库什，D.S.西尔维斯特罗夫决策规则为R的风险价值问题的逼近。莱普用预期亏损管理风险。Mausser，D.罗森。关于联合机会约束问题的数值解。多媒体网络中基于机会约束的服务质量管理。Medova，J.E. Scott.用随机规划M.R.求解一类产品替代问题。穆尔，A.普雷科帕关于风险价值和条件风险价值的注记。随机最优化问题的统计推断A.夏皮罗
Preface. Introduction to the Theory of Probabilistic Functions and Percentiles S. Uryasev. Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights M. Broadie, et al. On Optimization of Unreliable Material Flow Systems Y. Ermoliev, et al. Stochastic Optimization in Asset & Liability Management: A Model for Non-Maturing Accounts K. Frauendorfer, M. Schurle. Optimization in the Space of Distribution Functions and Applications in the Bayes Analysis A.N. Golodnikov, et al. Sensitivity Analysis of Worst-Case Distribution for Probability Optimization Problems Y.S. Kan, A.I. Kibzun. On Maximum Realiability Problem in Parallel-Series Systems with Two Failure Modes V. Kirilyuk. Robust Monte Carlo Simulation for Approximate Covariance Matrices and VaR Analyses A. Kreinin, A. Levin. Structure of Optimal Stopping Strategies for American Type Options A.G. Kukush, D.S. Silvestrov. Approximation of Value-at-Risk Problems with Decision Rules R. Lepp. Managing Risk with Expected Shortfall H. Mausser, D. Rosen. On the Numerical Solution of Jointly Chance Constrained Problems J. Mayer. Management of Quality of Service through Chance-constraints in Multimedia Networks E.A. Medova, J.E. Scott. Solution of a Product Substitution Problem Using Stochastic Programming M.R. Murr, A. Prekopa. Some Remarks on the Value-at-Risk and the Conditional Value-at-risk G.Ch. Pflug. Statistical Inference of Stochastic Optimization Problems A. Shapiro.