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Parameter estimation in stochastic scenario generation systems
John M. Mulvey
, Daniel P. Rosenbaum
, Bala Shetty
Operations Research & Financial Engineering
Bendheim Center for Finance
Center for Statistics & Machine Learning
Research output
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Contribution to journal
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Article
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peer-review
16
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Scopus citations
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Keyphrases
Parameter Estimation
100%
Generation System
100%
Stochastic Scenarios
100%
Scenario Generation
100%
Effective Tool
33%
Stochastic Model
33%
Maximum Likelihood
33%
Estimation Method
33%
Optimization Framework
33%
Nonconvex Optimization
33%
Nonconvex
33%
Economic Factors
33%
Generalized Method of Moments
33%
Financial Planning
33%
Planning Model
33%
Generation Process
33%
Short-term Interest Rate
33%
Multiple Objective Optimization
33%
Interest Rate Models
33%
Treasury
33%
Objective Weights
33%
Integrated Parameter
33%
Tabu Search
33%
Adaptive Memory Programming
33%
Computer Science
Parameter Estimation
100%
Generation System
100%
Optimization Problem
50%
Relative Importance
50%
Stochastic Model
50%
maximum-likelihood
50%
Optimization Framework
50%
Convex Optimization
50%
Financial Planning
50%
Memory Programming
50%
Input Parameter
50%
Objective Optimization
50%
Scenario Analysis
50%
Tabu Search
50%
Engineering
Parameter Estimation
100%
Generation System
100%
Relative Importance
50%
Stochastic Model
50%
Maximum Likelihood
50%
Convex Optimization Problem
50%
Input Parameter
50%
Rate Model
50%
Objective Optimization
50%
Generalized Method
50%
Economics, Econometrics and Finance
Metaheuristics
100%