Generalized decision rule approximations for stochastic programming via liftings.
Angelos GeorghiouWolfram WiesemannDaniel KuhnPublished in: Math. Program. (2015)
Keyphrases
- decision rules
- stochastic programming
- rough approximations
- multistage
- attribute oriented
- chance constrained
- linear program
- rough sets
- decision trees
- robust optimization
- rule induction
- decision making under uncertainty
- asset liability management
- statistical decision theory
- power generation
- risk averse
- rough set theory
- dominance relation
- image processing
- tabu search
- computational complexity