Periodical Multistage Stochastic Programs.

Alexander Shapiro Lingquan Ding

Published in: SIAM J. Optim. (2020)

Keyphrases

multistage stochastic
linear program
portfolio selection
multistage
integer program
capacity expansion
cutting plane
stochastic programming
optimal solution
linear programming
column generation
lower bound
dynamic programming
integer programming
mixed integer programming