A Primal-Dual Decomposition Algorithm for Multistage Stochastic Convex Programming.
Arjan BerkelaarJoaquim A. S. GromichoRoy KouwenbergShuzhong ZhangPublished in: Math. Program. (2005)
Keyphrases
- convex programming
- decomposition algorithm
- primal dual
- linear program
- linear programming
- interior point methods
- integer program
- convex optimization
- decomposition method
- semidefinite programming
- column generation
- optimal solution
- mixed integer
- convergence rate
- convex functions
- approximation algorithms
- np hard
- objective function
- integer programming
- cutting plane
- learning algorithm
- mixed integer programming
- multistage
- dynamic programming