Subgradient decomposition and differentiability of the recourse function of a two stage stochastic linear program.
Suvrajeet SenPublished in: Oper. Res. Lett. (1993)
Keyphrases
- linear program
- stochastic programming
- stage stochastic programs
- column generation
- linear programming
- optimal solution
- semi infinite
- stochastic optimization
- lagrangian dual
- optimization methods
- objective function
- approximate dynamic programming
- simplex method
- integer program
- multistage stochastic
- multistage
- mixed integer
- interior point methods
- cutting plane
- lagrangian relaxation
- linear programming problems
- optimization approaches
- sufficient conditions
- average cost
- dynamic programming
- convex optimization
- mixed integer linear program
- np hard
- quadratic program
- state space