Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty.

Tsvetan Asamov Warren B. Powell

Published in: SIAM J. Optim. (2018)

Keyphrases

multistage
high dimensional
single stage
stochastic programming
production system
low dimensional
dynamic programming
lot sizing
dimensionality reduction
markov chain
stochastic optimization
similarity search
high dimensional data
variable selection
feature space
linear program
decision theory