Solving stochastic programming problems via Kalman filter and affine scaling

DOI10.1016/0377-2217(94)00250-GzbMath0901.90155MaRDI QIDQ1388843

Romesh Saigal, Shu-Cherng Fang, Sarat Puthenpura, Lakshman Sinha

Publication date: 11 June 1998

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

Kalman filteraffine scaling algorithm

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic programming (90C15)

Related Items (1)

Linear programming with stochastic elements: An on-line approach

Cites Work

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• A modification of Karmarkar's linear programming algorithm
• A new polynomial-time algorithm for linear programming
• Fast projection methods for minimal design problems in linear system theory
• Robust Bootstrap Method for Joint Estimation of States and Parameters of a Linear System
• Robust bayesian estimation for the linear model and robustifying the Kalman filter
• Optimal state estimation in high noise

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