An Algorithm for Multistage Stochastic Integer Programs.
Thomas HeinzePublished in: Electron. Notes Discret. Math. (2006)
Keyphrases
- integer program
- multistage stochastic
- dynamic programming
- search space
- cutting plane
- linear program
- computational complexity
- cost function
- portfolio selection
- objective function
- optimal solution
- integer programming
- worst case
- np hard
- optimization method
- non stationary
- column generation
- particle swarm optimization
- linear programming