A Gaussian upper bound for Gaussian multi-stage stochastic linear programs.
Eithan SchweitzerMordecai AvrielPublished in: Math. Program. (1997)
Keyphrases
- stochastic programming
- multistage
- linear program
- upper bound
- dynamic programming
- stochastic optimization
- linear programming
- lot sizing
- production system
- lower bound
- single stage
- assembly systems
- semi infinite
- optimal policy
- primal dual
- mixed integer
- worst case
- single item
- linear programming problems
- sufficient conditions
- np hard
- learning algorithm
- linear inequalities
- machine learning