Risk-averse feasible policies for large-scale multistage stochastic linear programs.
Vincent GuiguesClaudia A. SagastizábalPublished in: Math. Program. (2013)
Keyphrases
- multistage stochastic
- linear program
- stochastic programming
- risk averse
- linear programming
- feasible solution
- capacity planning
- optimal solution
- integer program
- multistage
- column generation
- objective function
- primal dual
- average cost
- mixed integer
- markov decision problems
- np hard
- dynamic programming
- lot sizing
- knapsack problem
- portfolio selection
- special case
- learning algorithm