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Primal-Dual Contraint Aggregation Method in Multistage Stochastic Programming
Michael Ruvimovich Davidson
Published in:
Universität Trier, Mathematik/Informatik, Forschungsbericht (1997)
Keyphrases
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multistage
stochastic programming
dynamic programming
linear program
primal dual
cost function
chance constrained
convergence rate
interior point algorithm
genetic algorithm
objective function
computational complexity
support vector machine
linear programming
training samples
linear programming problems