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

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Summary Large classes of problems can be solved GAMS provides a powerful and flexible framework for these classes of models Stochastic Programming still challenging and developing field Limited application of Stochastic Programming in practice 34
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 and 24: 4 A simple Scenario Tree 0 1 2 5 6
Page 25 and 26: Stochastic Programming Some Challen
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: Main Problem: Specialized Algorithm

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