A decomposition-based crash-start for stochastic programming.
Marco ColomboAndreas GrotheyPublished in: Comput. Optim. Appl. (2013)
Keyphrases
- stochastic programming
- multistage
- linear program
- chance constrained
- capacity planning
- asset liability management
- robust optimization
- risk averse
- decision making under uncertainty
- power generation
- multistage stochastic
- linear programming
- dynamic programming
- cooperative
- simulated annealing
- genetic algorithm
- state space
- reinforcement learning