A Survey and Comparison of Optimization Methods for Solving Multi-Stage Stochastic Programs with Recourse.
Enzo E. SaumaPublished in: Int. J. Oper. Res. Inf. Syst. (2013)
Keyphrases
- stage stochastic programs
- optimization methods
- optimization approaches
- linear program
- optimization method
- simulated annealing
- global convergence
- optimization problems
- direct optimization
- inverse problems
- stochastic methods
- trust region
- continuous optimization
- gradient method
- quasi newton
- special case
- portfolio optimization
- neural network
- integer program
- unconstrained optimization
- bayesian network models
- evolutionary algorithm
- machine learning