A Riccati-based primal interior point solver for multistage stochastic programming - extensions.
Jörgen BlomvallPer Olov LindbergPublished in: Optim. Methods Softw. (2002)
Keyphrases
- stochastic programming
- interior point
- linear program
- multistage
- linear programming
- primal dual
- interior point methods
- dynamic programming
- multistage stochastic
- linear programming problems
- convex optimization
- mixed integer
- column generation
- semidefinite programming
- optimal solution
- integer program
- objective function
- np hard
- convergence rate
- lot sizing
- feasible solution
- mathematical programming
- machine learning