Application of Two-Stage Stochastic Linear Program for Portfolio Selection Problem.
Kuo-Hwa ChangHuifen ChenChing-Fen LinPublished in: ICCSA (3) (2006)
Keyphrases
- linear program
- linear programming
- semi infinite
- interior point methods
- stochastic programming
- integer program
- mixed integer linear program
- machine learning
- linear programming problems
- primal dual
- dynamic programming
- optimal solution
- column generation
- approximate dynamic programming
- multistage stochastic
- np hard
- mixed integer
- simplex method
- feasible solution
- interior point