Monotonic bounds in multistage mixed-integer stochastic programming.
Francesca MaggioniElisabetta AlleviMarida BertocchiPublished in: Comput. Manag. Sci. (2016)
Keyphrases
- stochastic programming
- mixed integer
- multistage
- lot sizing
- linear program
- capacity planning
- mixed integer programming
- upper bound
- cutting plane
- lower bound
- dynamic programming
- linear programming
- feasible solution
- optimal solution
- production planning
- convex hull
- worst case
- optimal policy
- multistage stochastic
- robust optimization
- primal dual
- column generation
- objective function