| Article ID: | iaor20084734 |
| Country: | United Kingdom |
| Volume: | 19 |
| Issue: | 1 |
| Start Page Number: | 87 |
| End Page Number: | 97 |
| Publication Date: | Jan 2008 |
| Journal: | IMA Journal of Management Mathematics (Print) |
| Authors: | Gassmann H.I., Infanger G. |
| Keywords: | SMPS format |
This paper proposes two extensions to the SMPS format for stochastic programs to permit modelling of autoregressive-moving average processes. Sampling-based algorithms can thus proceed independently of any underlying modelling system, increasing efficiency. An illustrative example demonstrates the power of the new constructs.