Multistage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty Set.
Krzysztof PostekDick den HertogPublished in: INFORMS J. Comput. (2016)
Keyphrases
- multistage
- mixed integer
- lot sizing
- stochastic programming
- robust optimization
- global optimization problems
- linear program
- single stage
- quadratic program
- mixed integer programming
- continuous relaxation
- benders decomposition
- dynamic programming
- second order cone program
- production planning
- optimization algorithm
- optimal solution
- cutting plane
- computationally efficient
- continuous variables
- feasible solution
- optimal policy
- linear programming
- quadratic programming
- mathematical programming
- optimization problems