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Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization.
Laureano F. Escudero
María Araceli Garín
Aitziber Unzueta
Published in:
Comput. Oper. Res. (2017)
Keyphrases
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multistage
stochastic optimization
risk averse
stochastic programming
risk neutral
dynamic programming
single stage
production system
lot sizing
utility function
lower bound
decision makers
column generation
optimal solution
search algorithm
optimal policy