On the formulation of stochastic linear programs using algebraic modelling languages.
Horand I. GassmannA. M. IrelandPublished in: Ann. Oper. Res. (1996)
Keyphrases
- linear program
- asset liability management
- stochastic programming
- linear programming
- mixed integer
- integer program
- mixed integer linear program
- optimal solution
- mixed integer program
- lp relaxation
- simplex method
- semi infinite
- lagrange multipliers
- interior point methods
- stage stochastic programs
- column generation
- objective function
- dynamic programming
- np hard
- primal dual
- extreme points
- quadratic program
- binary variables
- monte carlo
- linear programming problems
- valid inequalities
- special case
- mixed integer linear programming
- robust optimization
- multistage
- computational complexity
- convex functions