A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization.
Jens HübnerMartin SchmidtMarc Christian SteinbachPublished in: INFORMS J. Comput. (2017)
Keyphrases
- multistage
- stochastic optimization
- interior point
- linear programming
- interior point methods
- single stage
- dynamic programming
- semidefinite programming
- lot sizing
- distributed systems
- primal dual
- linear program
- convex optimization
- nonnegative matrix factorization
- semidefinite
- convex relaxation
- optimal policy
- linear programming problems
- linear systems
- learning algorithm