Totally unimodular multistage stochastic programs.

Ruichen (Richard) Sun Oleg V. Shylo Andrew J. Schaefer

Published in: Oper. Res. Lett. (2015)

Keyphrases

multistage stochastic
linear program
totally unimodular
extreme points
multistage
portfolio selection
mixed integer
cutting plane
capacity expansion
integer program
linear programming
stochastic programming
convex hull
optimal solution
column generation
decision making
np hard