Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs.

Vincent Guigues

Published in: SIAM J. Optim. (2016)

Keyphrases

stochastic programming
multistage
linear program
monte carlo
capacity expansion
constraint satisfaction problems
robust optimization
feature space
search space
linear programming
utility function
column generation
portfolio selection