On multistage Stochastic Integer Programming for incorporating logical constraints in asset and liability management under uncertainty.
Laureano F. EscuderoMaría Araceli GarínMaría MerinoGloria PérezPublished in: Comput. Manag. Sci. (2009)
Keyphrases
- integer program
- integer programming
- multistage stochastic
- cutting plane
- column generation
- constraint programming
- linear programming
- linear program
- valid inequalities
- production planning
- lagrangian relaxation
- np hard
- network flow
- ai planning
- cutting plane algorithm
- integer programming formulations
- round robin tournament
- constraint satisfaction
- portfolio selection
- decision making
- primal dual
- combinatorial optimization
- capacity expansion
- set partitioning
- optimal portfolio