Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage.
Selvaprabu NadarajahFrançois MargotNicola SecomandiPublished in: Manag. Sci. (2015)
Keyphrases
- linear program
- linear programming
- real option
- np hard
- semi infinite
- simplex method
- optimal solution
- primal dual
- lower bound
- dynamic programming
- objective function
- management system
- integer program
- column generation
- linear inequalities
- decision making
- mixed integer
- interior point methods
- extreme points
- stochastic programming
- cash flow
- integer programming
- market equilibrium
- mathematical programming
- life cycle
- genetic programming
- data mining
- decision makers
- mixed integer linear program
- strongly polynomial
- semidefinite
- stochastic processes
- approximation algorithms
- markov chain
- machine learning