Nonanticipative duality, relaxations, and formulations for chance-constrained stochastic programs.
Shabbir AhmedJames R. LuedtkeYongjia SongWeijun XiePublished in: Math. Program. (2017)
Keyphrases
- chance constrained
- linear programming
- stochastic programming
- linear program
- robust optimization
- knapsack problem
- computationally tractable
- chance constraints
- lower bound
- np hard
- mathematical programming
- chance constrained programming
- valid inequalities
- reverse logistics
- multistage
- optimal solution
- decision making
- dynamic programming
- reinforcement learning