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An algorithmic framework for solving large scale multistage stochastic mixed 0-1 problems with nonsymmetric scenario trees.

Laureano F. EscuderoMaría Araceli GarínMaría MerinoGloria Pérez
Published in: Comput. Oper. Res. (2012)
Keyphrases
  • multistage stochastic
  • integer program
  • linear program
  • multistage
  • cutting plane
  • portfolio selection
  • optimization problems
  • special case
  • decision problems
  • combinatorial optimization
  • column generation