A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs.
John R. BirgeChristopher J. DonohueDerek F. HolmesOleg G. SvintsitskiPublished in: Math. Program. (1996)
Keyphrases
- parallel implementation
- multistage stochastic
- linear program
- decomposition algorithm
- linear programming
- decomposition method
- optimal solution
- integer program
- stochastic programming
- dynamic programming
- primal dual
- column generation
- np hard
- objective function
- recognition algorithm
- mixed integer
- reinforcement learning
- machine learning