Multistage stochastic convex programs: Duality and its implications.
Julia L. HigleSuvrajeet SenPublished in: Ann. Oper. Res. (2006)
Keyphrases
- convex programs
- multistage stochastic
- linear program
- linear programming
- portfolio selection
- convex functions
- capacity expansion
- integer program
- multistage
- cutting plane
- stochastic programming
- column generation
- optimal solution
- capacity planning
- semidefinite programming
- primal dual
- integer programming
- knapsack problem
- upper bound
- dynamic programming
- np hard
- computer vision