Duality and optimality in multistage stochastic programming
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Publication:1289293
DOI10.1023/A:1018909508556zbMath0920.90113MaRDI QIDQ1289293
Publication date: 28 June 1999
Published in: Annals of Operations Research (Search for Journal in Brave)
Related Items (8)
A SPLITTING METHOD FOR COMPOSITE MAPPINGS ⋮ Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS ⋮ On duality for mathematical programs with vanishing constraints ⋮ New dualities for mathematical programs with vanishing constraints ⋮ Duality and sensitivity analysis of multistage linear stochastic programs ⋮ Duality gaps in nonconvex stochastic optimization ⋮ Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems ⋮ Stochastic programming, cooperation, and risk exchange
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