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Randomized Progressive Hedging methods for multi-stage stochastic programming.
Gilles Bareilles
Yassine Laguel
Dmitry Grishchenko
Franck Iutzeler
Jérôme Malick
Published in:
Ann. Oper. Res. (2020)
Keyphrases
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multistage
stochastic programming
dynamic programming
chance constrained
production system
lot sizing
capacity planning
stochastic optimization
single stage
artificial intelligence
search algorithm
special case
state space
linear program
risk management