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

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