An effective heuristic for multistage linear programming with a stochastic right-hand side

DOI10.1016/j.cor.2014.06.010zbMath1348.90500OpenAlexW2004038375MaRDI QIDQ337144

R. E. Rodriguez-Ravines, Laureano Fernando Escudero Bueno, Juan Francisco Monge, Cesar Beltran-Royo

Publication date: 10 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2014.06.010

zbMATH Keywords

conditional expectationconstraint aggregationmultistage stochastic programmingscenario treerevenue management

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (1)

Multiperiod portfolio investment using stochastic programming with conditional value at risk

Uses Software

• CPLEX

Cites Work

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