Parallel Factorization of Structured Matrices Arising in Stochastic Programming.
Elizabeth R. JessupDafeng YangStavros A. ZeniosPublished in: SIAM J. Optim. (1994)
Keyphrases
- stochastic programming
- multistage
- kronecker product
- linear program
- singular value decomposition
- chance constrained
- asset liability management
- decision making under uncertainty
- robust optimization
- risk averse
- data matrix
- multistage stochastic
- sparse matrices
- measurement matrix
- linear programming
- power generation
- matrix factorization
- dimensionality reduction
- search space