Scenario tree generation for multiperiod financial optimization by optimal discretization

Authors:   Pflug GC

Publication Year:   2000

Reference:  Mathematical Programming, Series B, 30(4):127-139 [2000]

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313

Twitter Facebook Youtube
Follow us on