Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming-Reference-Cited by-同舟云学术

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Stochastic Dynamic Linear Programming: A Sequential Sampling Algorithm for Multistage Stochastic Linear Programming

Published:2021-01 Issue:3 Volume:31 Page:2111-2140
ISSN:1052-6234
Container-title:SIAM Journal on Optimization
language:en
Short-container-title:SIAM J. Optim.

Author:

Gangammanavar Harsha^ORCID,Sen Suvrajeet^ORCID

Funder

Air Force Office of Scientific Research

Office of Naval Research

National Science Foundation

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Theoretical Computer Science,Software

Link

https://epubs.siam.org/doi/pdf/10.1137/19M1290735

Reference36 articles.

1. Regularized Decomposition of High-Dimensional Multistage Stochastic Programs with Markov Uncertainty

2. Partitioning procedures for solving mixed-variables programming problems

3. Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

4. The Scenario Generation Algorithm for Multistage Stochastic Linear Programming

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

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