A Riccati-based primal interior point solver for multistage stochastic programming.
Jörgen BlomvallPer Olov LindbergPublished in: Eur. J. Oper. Res. (2002)
Keyphrases
- stochastic programming
- interior point
- linear program
- multistage
- linear programming
- primal dual
- interior point methods
- dynamic programming
- linear programming problems
- multistage stochastic
- optimal solution
- objective function
- semidefinite programming
- np hard
- convex optimization
- mathematical programming
- column generation
- lot sizing
- integer program
- feasible solution
- mixed integer
- convergence rate
- optimal policy
- approximation algorithms