Browsing Produção Intelectual em Bases Externas by Title "Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs"

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Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

Guigues, Vincent Gérard Yannick; Sagastizábal, Claudia
2012-11

We consider an interstage dependent stochastic process whose components follow an autoregressive model with time varying order. At a given time, we give some recursive formulae linking future values of the process with ...