Convergence theory for nonconvex stochastic programming with an application to mixed logit.
Fabian BastinCinzia CirilloPhilippe L. TointPublished in: Math. Program. (2006)
Keyphrases
- stochastic programming
- multistage
- linear program
- chance constrained
- capacity planning
- decision making under uncertainty
- optimization problems
- theoretical framework
- risk averse
- objective function
- multistage stochastic
- asset liability management
- robust optimization
- convex optimization
- probability distribution
- risk management
- stationary points
- convergence rate
- case based reasoning
- cooperative
- decision making