A statistical generalized programming algorithm for stochastic optimization problems

DOI10.1007/BF02038859zbMath0836.90123MaRDI QIDQ1904722

Alexei A. Gaivoronski, Enza Messina, Anna Sciomachen

Publication date: 12 May 1996

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

zbMATH Keywords

parallelizationimplementationstochastic programs with recoursestochastic quasi-gradient method

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (4)

A stochastic optimization approach for robot scheduling ⋮ Sample-path optimization of convex stochastic performance functions ⋮ On-line portfolio selection using stochastic programming ⋮ Modelling and analysis of multistage stochastic programming problems: A software environment

Uses Software

• OSL

Cites Work

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• Stochastic Optimization Problems with Incomplete Information on Distribution Functions
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Analysis of mathematical programming problems prior to applying the simplex algorithm
• Contributions to the theory of stochastic programming
• Programming Under Uncertainty: The Equivalent Convex Program

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