Article ID: | iaor1999964 |
Country: | Netherlands |
Volume: | 79 |
Issue: | 1/3 |
Start Page Number: | 333 |
End Page Number: | 353 |
Publication Date: | Oct 1997 |
Journal: | Mathematical Programming |
Authors: | Ruszczyski Andrzej |
Stochastic programming problems have very large dimension and characteristic structures which are tractable by decomposition. We review basic ideas of cutting plane methods, augmented Lagrangian and splitting methods, and stochastic decomposition methods for convex polyhedral multi-stage stochastic programming problems.