Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs.
Raghu PasupathyYongjia SongPublished in: SIAM J. Optim. (2021)
Keyphrases
- linear program
- simplex method
- linear programming
- linear programming problems
- integer program
- quadratic program
- column generation
- optimal solution
- stochastic programming
- mixed integer
- interior point methods
- primal dual
- nonlinear programming
- extreme points
- np hard
- optimality conditions
- objective function
- mixed integer linear program
- sample average approximation
- simplex algorithm
- dynamic programming
- semidefinite programming
- exact solution
- integer programming
- interior point
- linear inequalities
- cost function
- special case
- high level