State partitioning based linear program for stochastic dynamic programs: An invariance property.
Myoungkuk ParkKalyanam KrishnamoorthySwaroop DarbhaPhillip R. ChandlerMeir PachterPublished in: Oper. Res. Lett. (2012)
Keyphrases
- linear program
- stochastic dynamic
- linear programming
- semi infinite
- stochastic programming
- approximate dynamic programming
- mixed integer
- optimal solution
- multistage stochastic
- np hard
- state space
- simplex algorithm
- interior point methods
- simplex method
- linear programming problems
- integer program
- column generation
- primal dual
- dynamic programming
- objective function
- integer programming
- mixed integer linear program