On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs.
Pierre GirardeauVincent LeclèreAndrew B. PhilpottPublished in: Math. Oper. Res. (2015)
Keyphrases
- decomposition methods
- convex programs
- multistage stochastic
- linear program
- portfolio selection
- multistage
- integer program
- convex functions
- decomposition method
- database theory
- capacity expansion
- cutting plane
- stochastic programming
- constraint satisfaction problems
- linear programming
- hypertree decomposition
- integer programming
- convergence rate
- dynamic programming
- column generation
- databases
- normal form
- working set