The Scenario Generation Algorithm for Multistage Stochastic Linear Programming.
Michael S. CaseySuvrajeet SenPublished in: Math. Oper. Res. (2005)
Keyphrases
- generation algorithm
- multistage stochastic
- linear program
- linear programming
- integer program
- column generation
- stochastic programming
- mathematical programming
- primal dual
- integer programming
- feasible solution
- optimal solution
- np hard
- cutting plane
- multistage
- portfolio selection
- dynamic programming
- network flow
- mixed integer
- objective function
- capacity expansion
- semidefinite programming
- quadratic programming
- cost function
- constraint propagation