\(L\)-shaped algorithm for two stage problems of stochastic convex programming (Q1429354)
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scientific article; zbMATH DE number 2064709
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | \(L\)-shaped algorithm for two stage problems of stochastic convex programming |
scientific article; zbMATH DE number 2064709 |
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\(L\)-shaped algorithm for two stage problems of stochastic convex programming (English)
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18 May 2004
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The paper studies two stage stochastic convex programming. Feasibility is considered for different cases. Some properties related to optimality cuts are presented. An algorithm based on the discussion of feasibility and optimality is proposed and numerical results for a small example are presented.
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stochastic programming
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convex programming
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algorithms
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