A superlinearly convergent algorithm for large scale multi-stage stochastic nonlinear programming.
Fanwen MengRoger C. E. TanGongyun ZhaoPublished in: Int. J. Comput. Eng. Sci. (2004)
Keyphrases
- multistage
- dynamic programming
- np hard
- optimal solution
- computational complexity
- linear programming
- stochastic programming
- learning algorithm
- nonlinear programming
- convergence rate
- expectation maximization
- worst case
- cost function
- distance transform
- stochastic optimization
- search space
- lot sizing
- higher dimensional
- objective function