An approximation scheme for stochastic linear programming and its application to stochastic integer programs.
David B. ShmoysChaitanya SwamyPublished in: J. ACM (2006)
Keyphrases
- linear programming
- linear program
- approximation schemes
- stage stochastic programs
- integer program
- monte carlo sampling
- monte carlo
- dynamic programming
- column generation
- approximation algorithms
- upper bound
- primal dual
- cutting plane
- stochastic programming
- feasible solution
- multistage stochastic
- discrete random variables
- cost function