A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming
نویسندگان
چکیده
منابع مشابه
A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming
Decision making under uncertainty is a challenge faced by many decision makers. Stochastic programming is a major tool developed to deal with optimization with uncertainties that has found applications in, e.g. finance, such as asset-liability and bond-portfolio management. Computationally however, many models in stochastic programming remain unsolvable because of overwhelming dimensionality. F...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2002
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.50.5.904.360