Convergent cutting-plane and partial-sampling algorithm for multistage stochastic linear programs with recourse

DOI10.1023/A:1022641805263zbMath0955.90096MaRDI QIDQ1807682

Yanyan Li

Publication date: 4 March 2001

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

samplingmultistage stochastic programmingcutting planesconvergence with probability one

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Stochastic programming (90C15)

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Uses Software

• MSLiP

Cites Work

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