Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming.
Harsha GangammanavarSuvrajeet SenPublished in: SIAM J. Optim. (2021)
Keyphrases
- linear programming
- linear program
- multistage stochastic
- sampling algorithm
- stochastic dynamic
- integer program
- column generation
- dynamic programming
- integer programming
- np hard
- feasible solution
- mathematical programming
- random sampling
- network flow
- stochastic programming
- objective function
- multistage
- portfolio selection