Stochastic scenario decomposition for multistage stochastic programs

DOI10.1093/imaman/dpp001zbMath1181.90205OpenAlexW2170955460MaRDI QIDQ5851046

Brenda Rayco, Julia L. Higle, Suvrajeet Sen

Publication date: 21 January 2010

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpp001

zbMATH Keywords

decompositionduality

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (6)

Minimum cardinality non-anticipativity constraint sets for multistage stochastic programming ⋮ A stabilised scenario decomposition algorithm applied to stochastic unit commitment problems ⋮ Adaptive discretization of convex multistage stochastic programs ⋮ Scenario tree modeling for multistage stochastic programs ⋮ An Enterprise Risk Management Model for Supply Chains ⋮ A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging

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