Generalized derivatives of the optimal value of a linear program with respect to matrix coefficients.
Daniel De WolfYves SmeersPublished in: Eur. J. Oper. Res. (2021)
Keyphrases
- linear program
- optimal solution
- linear programming
- mixed integer linear program
- dynamic programming
- approximate dynamic programming
- semi infinite
- lagrange multipliers
- objective function
- stochastic programming
- simplex method
- column generation
- np hard
- multistage stochastic
- integer program
- interior point methods
- average cost
- convex functions
- inventory routing
- linear programming problems
- mixed integer
- simplex algorithm
- extreme points
- primal dual
- linear combination
- worst case
- reinforcement learning
- nonlinear programming
- stationary policies
- branch and bound
- dual variables