Bounding the probability of the union of events by aggregation and disaggregation in linear programs.
András PrékopaLinchun GaoPublished in: Discret. Appl. Math. (2005)
Keyphrases
- linear program
- linear programming
- semi infinite
- simplex method
- stochastic programming
- interior point methods
- primal dual
- upper bound
- mixed integer
- optimal solution
- multistage stochastic
- np hard
- probability distribution
- linear inequalities
- objective function
- market equilibrium
- column generation
- interior point
- linear programming problems
- integer program
- extreme points
- dynamic programming
- mixed integer linear program
- quadratic program
- low discrepancy sequences
- learning algorithm
- convex functions
- mathematical programming
- markov decision processes
- multistage