Solving sequences of refined multistage stochastic linear programs

DOI10.1023/B:ANOR.0000004766.05076.9DzbMath1053.90035OpenAlexW1998147935MaRDI QIDQ1417776

Karl Frauendorfer, Gido Haarbrücker

Publication date: 6 January 2004

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:anor.0000004766.05076.9d

zbMATH Keywords

optimality conditionbarycentric approximationdiscretization schemesfinancial applicationsmultistage stochastic linear programs

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Deterministic scheduling theory in operations research (90B35)

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