Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints.
Pu HuangDharmashankar SubramanianPublished in: Comput. Manag. Sci. (2012)
Keyphrases
- linear program
- stochastic programming
- semi infinite
- linear programming problems
- mixed integer
- linear programming
- linear inequalities
- integer program
- objective function
- mixed integer program
- stage stochastic programs
- dynamic programming
- simplex method
- binary variables
- optimal solution
- primal dual
- np hard
- interior point methods
- column generation
- multistage
- simplex algorithm
- monte carlo
- linear constraints
- global constraints
- convex hull
- mixed integer linear program
- market equilibrium