Edirisinghe N.C.P.

N.C.P. Edirisinghe

Information about the author N.C.P. Edirisinghe will soon be added to the site.
Found 9 papers in total
Multi-period stochastic portfolio optimization: Block-separable decomposition
Multi-period stochastic portfolio optimization: Block-separable decomposition
2007
We consider a multiperiod stochastic programming recourse model for stock portfolio...
Multiperiod portfolio optimization with terminal liability: Bounds for the convex case
Multiperiod portfolio optimization with terminal liability: Bounds for the convex case
2005
This paper is concerned with an investor trading in multiple securities over many time...
Capacity planning model for a multipurpose water reservoir with target-priority operation
Capacity planning model for a multipurpose water reservoir with target-priority operation
2000
We consider the capacity determination problem of a hydro reservoir. The reservoir is...
New second-order bounds on the expectation of saddle functions with applications to stochastic linear programming
New second-order bounds on the expectation of saddle functions with applications to stochastic linear programming
1996
This paper develops new bounds on the expectation of a convex–concave saddle...
Bound-based approximations in multistage stochastic programming: Nonanticipativity aggregation
Bound-based approximations in multistage stochastic programming: Nonanticipativity aggregation
1999
This paper considers bounding techniques within multistage stochastic programming and...
Second-order scenario approximation and refinement in optimization under uncertainty
Second-order scenario approximation and refinement in optimization under uncertainty
1996
When solving scenario-based stochastic programming problems, it is imperative that the...
Bounds for two-stage stochastic programs with fixed recourse
Bounds for two-stage stochastic programs with fixed recourse
1994
This paper develops upper and lower bounds on two-stage stochastic linear programs...
Bounding the expectation of a saddle function with application to stochastic programming
Bounding the expectation of a saddle function with application to stochastic programming
1994
The authors previously obtained tight upper and lower bounds to the expectation of a...
Tight bounds for stochastic convex programs
Tight bounds for stochastic convex programs
1992
Variable and row aggregation as a technique of simplifying a mathematical program is...
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