Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
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Publication:1652363
DOI10.1016/j.cor.2017.04.007zbMath1458.90492OpenAlexW2605860082MaRDI QIDQ1652363
Aitziber Unzueta, Laureano Fernando Escudero Bueno, María Araceli Garín
Publication date: 11 July 2018
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2017.04.007
subgradient methodmultistage stochastic mixed 0-1 optimizationprogressive hedging algorithmcluster Lagrangean problemdynamic constrained cutting plane algorithmtime stochastic dominance risk averse measure
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