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Multi-horizon stochastic programming.
Michal Kaut
Kjetil T. Midthun
Adrian S. Werner
Asgeir Tomasgard
Lars Hellemo
Marte Fodstad
Published in:
Comput. Manag. Sci. (2014)
Keyphrases
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stochastic programming
multistage
chance constrained
linear program
capacity planning
asset liability management
robust optimization
decision making under uncertainty
multistage stochastic
risk averse
lot sizing
capacity expansion