Barycentric scenario trees in convex multistage stochastic programming.

Karl Frauendorfer

Published in: Math. Program. (1996)

Keyphrases

stochastic programming
multistage
chance constrained
single stage
capacity planning
dynamic programming
lot sizing
asset liability management
multistage stochastic
production system
optimal policy
convex hull
convex optimization
linear program
artificial intelligence
markov decision processes