Decomposition methods in stochastic programming

Decomposition methods in stochastic programming

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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:
Abstract:

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.

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