The Abridged Nested Decomposition Method for Multistage Stochastic Linear Programs with Relatively Complete Recourse.
Christopher J. DonohueJohn R. BirgePublished in: Algorithmic Oper. Res. (2006)
Keyphrases
- linear program
- feasible solution
- multistage stochastic
- linear programming
- decomposition method
- optimal solution
- objective function
- stochastic programming
- simplex method
- integer program
- mixed integer
- primal dual
- decomposition algorithm
- column generation
- np hard
- quadratic programming
- extreme points
- dynamic programming
- stage stochastic programs
- learning algorithm
- approximation algorithms
- convex functions
- branch and bound
- mathematical model
- portfolio selection
- special case