A Decomposition Method Based on SQP for a Class of Multistage Stochastic Nonlinear Programs.

Xinwei Liu Gongyun Zhao

Published in: SIAM J. Optim. (2003)

Keyphrases

decomposition method
multistage stochastic
multistage
sequential quadratic programming
portfolio selection
decomposition algorithm
linear program
capacity expansion
integer program
decomposition methods
stochastic programming
genetic algorithm
dynamic programming
constraint programming
column generation