A regularized stochastic decomposition algorithm for two-stage stochastic linear programs.
Diana S. YakowitzPublished in: Comput. Optim. Appl. (1994)
Keyphrases
- linear program
- decomposition algorithm
- stochastic programming
- linear programming
- stage stochastic programs
- objective function
- semi infinite
- decomposition method
- working set
- column generation
- simplex method
- optimal solution
- stochastic optimization
- primal dual
- dynamic programming
- mixed integer
- interior point methods
- working set selection
- linear programming problems
- monte carlo
- np hard
- recognition algorithm
- extreme points
- quadratic program
- mixed integer linear program