multistage stochastic linear programs Latest Research Papers

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

Computational Management Science ◽

10.1007/s10287-021-00387-8 ◽

2021 ◽

Author(s):

Michelle Bandarra ◽

Vincent Guigues

Keyword(s):

Dynamic Programming ◽

Numerical Experiments ◽

Linear Programs ◽

Stochastic Dual Dynamic Programming ◽

Convergence Proof ◽

Selection For ◽

Stochastic Linear Programs ◽

Dual Dynamic Programming ◽

Multistage Stochastic Linear Programs

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Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

Operations Research Letters ◽

10.1016/j.orl.2012.09.001 ◽

2012 ◽

Vol 40 (6) ◽

pp. 478-483 ◽

Cited By ~ 4

Author(s):

Vincent Guigues ◽

Claudia Sagastizábal

Keyword(s):

Linear Programs ◽

Autoregressive Processes ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Risk-averse feasible policies for large-scale multistage stochastic linear programs

Mathematical Programming ◽

10.1007/s10107-012-0592-1 ◽

2012 ◽

Vol 138 (1-2) ◽

pp. 167-198 ◽

Cited By ~ 13

Author(s):

Vincent Guigues ◽

Claudia Sagastizábal

Keyword(s):

Large Scale ◽

Linear Programs ◽

Risk Averse ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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SDDP for multistage stochastic linear programs based on spectral risk measures

Operations Research Letters ◽

10.1016/j.orl.2012.04.006 ◽

2012 ◽

Vol 40 (5) ◽

pp. 313-318 ◽

Cited By ~ 13

Author(s):

Vincent Guigues ◽

Werner Römisch

Keyword(s):

Risk Measures ◽

Linear Programs ◽

Spectral Risk Measures ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Object Oriented Modeling of Multistage Stochastic Linear Programs

Operations Research and Cyber-Infrastructure ◽

10.1007/978-0-387-88843-9_2 ◽

2009 ◽

pp. 21-41 ◽

Cited By ~ 1

Author(s):

Leo Lopes ◽

Robert Fourer

Keyword(s):

Object Oriented ◽

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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A New Decomposition Technique in Solving Multistage Stochastic Linear Programs by Infeasible Interior Point Methods

Journal of Global Optimization ◽

10.1023/b:jogo.0000015311.63755.01 ◽

2004 ◽

Vol 28 (2) ◽

pp. 197-215 ◽

Cited By ~ 8

Author(s):

Xinwei Liu ◽

Jie Sun

Keyword(s):

Interior Point ◽

Interior Point Methods ◽

Linear Programs ◽

Decomposition Technique ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Reflections on Output Analysis for Multistage Stochastic Linear Programs

Lecture Notes in Economics and Mathematical Systems - Dynamic Stochastic Optimization ◽

10.1007/978-3-642-55884-9_1 ◽

2004 ◽

pp. 3-20 ◽

Cited By ~ 1

Author(s):

Jitka Dupačová

Keyword(s):

Linear Programs ◽

Output Analysis ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Solving Sequences of Refined Multistage Stochastic Linear Programs

Annals of Operations Research ◽

10.1023/b:anor.0000004766.05076.9d ◽

2003 ◽

Vol 124 (1-4) ◽

pp. 133-163 ◽

Cited By ~ 1

Author(s):

Karl Frauendorfer ◽

Gido Haarbrücker

Keyword(s):

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Convergent Cutting-Plane and Partial-Sampling Algorithm for Multistage Stochastic Linear Programs with Recourse

Journal of Optimization Theory and Applications ◽

10.1023/a:1022641805263 ◽

1999 ◽

Vol 102 (3) ◽

pp. 497-524 ◽

Cited By ~ 52

Author(s):

Z. L. Chen ◽

W. B. Powell

Keyword(s):

Cutting Plane ◽

Linear Programs ◽

Sampling Algorithm ◽

Partial Sampling ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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An Interior Random Vector Algorithm for MultiStage Stochastic Linear Programs

SIAM Journal on Optimization ◽

10.1137/s105262349528456x ◽

1998 ◽

Vol 8 (4) ◽

pp. 956-972 ◽

Cited By ~ 2

Author(s):

Eithan Schweitzer

Keyword(s):

Random Vector ◽

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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multistage stochastic linear programs
Recently Published Documents

TOTAL DOCUMENTS

H-INDEX

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

Risk-averse feasible policies for large-scale multistage stochastic linear programs

SDDP for multistage stochastic linear programs based on spectral risk measures

Object Oriented Modeling of Multistage Stochastic Linear Programs

A New Decomposition Technique in Solving Multistage Stochastic Linear Programs by Infeasible Interior Point Methods

Reflections on Output Analysis for Multistage Stochastic Linear Programs

Solving Sequences of Refined Multistage Stochastic Linear Programs

Convergent Cutting-Plane and Partial-Sampling Algorithm for Multistage Stochastic Linear Programs with Recourse

An Interior Random Vector Algorithm for MultiStage Stochastic Linear Programs

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multistage stochastic linear programsRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments

Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

Risk-averse feasible policies for large-scale multistage stochastic linear programs

SDDP for multistage stochastic linear programs based on spectral risk measures

Object Oriented Modeling of Multistage Stochastic Linear Programs

A New Decomposition Technique in Solving Multistage Stochastic Linear Programs by Infeasible Interior Point Methods

Reflections on Output Analysis for Multistage Stochastic Linear Programs

Solving Sequences of Refined Multistage Stochastic Linear Programs

Convergent Cutting-Plane and Partial-Sampling Algorithm for Multistage Stochastic Linear Programs with Recourse

An Interior Random Vector Algorithm for MultiStage Stochastic Linear Programs

multistage stochastic linear programs
Recently Published Documents