Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems.
Panos ParpasBerç RustemPublished in: INFORMS J. Comput. (2007)
Keyphrases
- augmented lagrangian
- cutting plane
- multistage stochastic
- decomposition method
- decomposition algorithm
- portfolio selection
- optimization problems
- convex optimization
- integer programming
- mathematical programming
- constrained optimization problems
- minimum cost
- linear programming problems
- genetic algorithm
- combinatorial optimization
- linear program
- np hard