MSLiP: A Computer Code for the Multistage Stochastic Linear Programming Problem.
Horand I. GassmannPublished in: Math. Program. (1990)
Keyphrases
- multistage stochastic
- linear program
- linear programming
- integer program
- column generation
- stochastic programming
- primal dual
- multistage
- objective function
- mixed integer
- mathematical programming
- feasible solution
- np hard
- portfolio selection
- source code
- dynamic programming
- quadratic programming
- network flow
- cutting plane
- capacity expansion
- lagrangian relaxation
- optimal solution
- lot sizing
- long term
- reinforcement learning