Search Results - "Infanger, Gerd"

A Complementarity Framework for Forward Contracting Under Uncertainty.

Authors: Shanbhag, Uday V. Infanger, Gerd Glynn, Peter W.

Source: Operations Research. Jul2011, Vol. 59 Issue 4, p810-834. 25p. 13 Charts, 3 Graphs.

Simulation-based confidence bounds for two-stage stochastic programs.

Authors: Glynn, Peter Infanger, Gerd

Source: Mathematical Programming; Apr2013, Vol. 138 Issue 1/2, p15-42, 28p, 1 Diagram, 5 Charts

Stochastic programming for funding mortgage pools.

Authors: Infanger, Gerd^1,2 (AUTHOR) infanger@stanford.edu

Source: Quantitative Finance. Apr2007, Vol. 7 Issue 2, p189-216. 28p. 1 Diagram, 15 Charts, 13 Graphs.

Multi-stage stochastic linear programs for portfolio optimization.

Authors: Dantzig, George B. Infanger, Gerd

Source: Annals of Operations Research; 1993, Vol. 45 Issue 1-4, p59-76, 18p

MONTE CARLO (IMPORTANCE) SAMPLING WITHIN A BENDERS DECOMPOSITION ALGORITHM FOR STOCHASTIC LINEAR PROGRAMS.

Authors: Infanger, Gerd¹

Source: Annals of Operations Research; 1992, Vol. 39 Issue 1-4, p69-95, 27p, 6 Charts

Dynamic stochastic approximation for multi-stage stochastic optimization.

Authors: Lan, Guanghui Zhou, Zhiqiang

Source: Mathematical Programming; May2021, Vol. 187 Issue 1/2, p487-532, 46p

Cut sharing for multistage stochastic linear programs with interstage dependency.

Authors: Infanger, Gerd Morton, David

Source: Mathematical Programming. Nov1996, Vol. 75 Issue 2, p241-256. 16p.