Browsing by Subject "Programação estocástica"
Now showing items 1-6 of 6
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Central limit theorems for risk averse optimization problems
2017Nós estudaremos propriedades estatísticas de aproximações pela média amostral (SAA) de problemas de otimização estocástica aversos ao risco. Inicialmente, discutimos alguns resultados teóricos importantes que serão úteis ... -
Ensaios em matemática aplicada: estimação e trajetórias bootstrap de oferta de sangue e estudo de desempenho de extensões do algoritmo de Programação Dinâmica Dual Estocástica
2017-09-26We study two topics of applied mathematics. The first topic is devoted to the estimation of blood supply time series and the generation of simulated trajectories. The main goal is to contribute to the literature of stock ... -
The infinitely many zeros of stochastic coupled oscillators driven by random forces
2017In this work, previous results concerning the infinitely many zeros of single stochastic oscillators driven by random forces are extended to the general class of coupled stochastic oscillators. We focus on three main ... -
Long-term asset allocation based on stochastic multistage multi-objective portfolio optimization
2016-08-19Multi-Period Stochastic Programming (MSP) offers an appealing approach to identity optimal portfolios, particularly over longer investment horizons, because it is inherently suited to handle uncertainty. Moreover, it ... -
Programação estocástica para fundos de pensão
2014-12-18Nesta dissertação discutiremos modelos e métodos de soluções de programação estocástica para resolver problemas de ALM em fundos de pensão. Apresentaremos o modelo de (Drijver et al.), baseado na programação estocástica ... -
Robust production management
2016The problem of production management can often be cast in the form of a linear program with uncertain parameters and risk constraints. Typically, such problems are treated in the framework of multi-stage Stochastic ...
