Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse.
Julia L. HigleSuvrajeet SenPublished in: Math. Oper. Res. (1991)
Keyphrases
- linear program
- optimal solution
- linear programming
- dynamic programming
- strongly polynomial
- learning algorithm
- primal dual
- stochastic programming
- simplex method
- integer program
- np hard
- optimization algorithm
- computational complexity
- linear programming problems
- monte carlo
- combinatorial optimization
- interior point
- mathematical model
- higher dimensional
- ant colony optimization
- search space
- extreme points
- worst case