Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs.
Vincent GuiguesClaudia A. SagastizábalPublished in: Oper. Res. Lett. (2012)
Keyphrases
- linear program
- multistage stochastic
- stochastic programming
- autoregressive
- linear programming
- integer program
- multistage
- column generation
- portfolio selection
- random fields
- primal dual
- non stationary
- optimal solution
- dynamic programming
- robust optimization
- objective function
- feasible solution
- capacity expansion
- machine learning