Parallel decomposition of multistage stochastic programming problems
type: Item
instance of: scholarly article
title: Parallel decomposition of multistage stochastic programming problems
zbMATH Open document ID: 0777.90036
DOI: 10.1007/BF01581267
published in: Mathematical Programming. Series A. Series B
publication date: 1993-06-29T00:00:00Z
review text: The author deals with a multistage stochastic linear programming problem. In detail, he considers a nonanticipative case and a finite underlying probability space. Consequently, the considered multistage stochastic programming problem can be represented in a tree like form and moreover, with each note of the decision tree a certain linear or quadratic subproblem can be associated. The aim of the paper is to present a parallel decomposition method solution of the above introduced optimization problem. It is proven that the suggested method after a finite time either discovers inconsistency in the problem or finds an optimal solution. An illustrative example is given at the end of the paper.
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 65Y05
Mathematics Subject Classification ID: 90-08
Mathematics Subject Classification ID: 49M27
zbMATH DE Number: 221250
zbMATH Keywords: multistage stochastic linear programming
zbMATH Keywords: parallel decomposition
author: Andrzej Ruszczyński
reviewed by: Vlasta Kaňková
describes a project that uses: MSLiP
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 221250