On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach.
Jordi CastroLaureano F. EscuderoJuan F. MongePublished in: Eur. J. Oper. Res. (2023)
Keyphrases
- multistage
- interior point
- stochastic optimization problems
- linear programming problems
- linear programming
- interior point methods
- linear program
- dynamic programming
- primal dual
- random variables
- lot sizing
- simplex method
- semidefinite
- optimization problems
- semidefinite programming
- quadratic programming
- solving problems
- lp relaxation
- convex optimization
- optimal policy
- mixed integer
- control policies
- nonnegative matrix factorization
- convex relaxation
- genetic algorithm
- column generation
- combinatorial optimization
- convergence rate
- bayesian networks