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Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems.
Gauthier de Maere d'Aertrycke
Alexander Shapiro
Yves Smeers
Published in:
Math. Methods Oper. Res. (2013)
Keyphrases
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lagrange multipliers
multistage stochastic
integer program
constrained optimization
linear program
objective function
optimization problems
video sequences
cutting plane
evolutionary algorithm
cost function
rate distortion
coding scheme
risk management
portfolio selection