Optimization under Uncertainty using GAMS: Success Stories and ...

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Another Scenario Tree 1.8 1999 2000 2001 1.6 2002 Years 3 2.8 2.6 2.4 2.2 2 Exchange Rate 24
Stochastic Programming Some Challenges Domain specific knowledge Impacts of uncertainty: Does it make a difference and is it worth the effort? How far can one get with a certain budget? Development and Fall-Back Strategy? Data (availability and importance of certain and uncertain parameter) Generation of “good” scenarios and definition of stages Interpretation and Presentation of Results Maintenance of the system 25
Page 1 and 2: Optimization under Uncertainty usin
Page 3 and 4: GAMS Development Corp. & GAMS Softw
Page 5 and 6: What are Algebraic Modeling Languag
Page 7 and 8: GAMS Basic Principles Balanced mix
Page 9 and 10: Uncertainty in Finance Very active
Page 11 and 12: Mean-Variance Model Markowitz (1952
Page 13 and 14: Mean-Variance Model Core GAMS Model
Page 15 and 16: Mean-Variance Model Procedural Elem
Page 17 and 18: Mean-Variance Model Extensions Dif
Page 19 and 20: Trading Restrictions - Formulation
Page 21 and 22: Recent Developments Support of cod
Page 23: 4 A simple Scenario Tree 0 1 2 5 6
Page 27 and 28: Facing these (tech.) Challenges 1.
Page 29 and 30: Scenario Reduction Goal: Find an a
Page 31 and 32: Specialized Algorithms OSL Stochast
Page 33 and 34: Main Problem: Specialized Algorithm

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