Primal - Dual Constraint Aggregation with Application to Stochastic Programming.

Michael Ruvimovich Davidson

Published in: Ann. Oper. Res. (2000)

Keyphrases

primal dual
stochastic programming
linear program
linear programming
interior point methods
affine scaling
multistage
chance constrained
machine learning
convergence rate
simplex algorithm
interior point algorithm
dynamic programming
convex optimization
variational inequalities
semidefinite programming