Cut sharing for multistage stochastic linear programs with interstage dependency.
Gerd InfangerDavid P. MortonPublished in: Math. Program. (1996)
Keyphrases
- multistage stochastic
- linear program
- linear programming
- optimal solution
- stochastic programming
- integer program
- column generation
- primal dual
- np hard
- simplex method
- mixed integer
- objective function
- dynamic programming
- metaheuristic
- multistage
- learning algorithm
- cutting plane
- portfolio selection
- multi objective
- capacity planning