The value of the stochastic solution in stochastic linear programs with fixed recourse.
John R. BirgePublished in: Math. Program. (1982)
Keyphrases
- stochastic programming
- linear program
- stage stochastic programs
- multistage
- linear programming
- optimal solution
- multistage stochastic
- integer program
- robust optimization
- simplex method
- mixed integer linear program
- mixed integer
- semi infinite
- objective function
- column generation
- linear programming problems
- dynamic programming
- extreme points
- interior point methods
- strongly polynomial
- state space