Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse

DOI10.1287/moor.16.3.650zbMath0746.90045OpenAlexW2040358553MaRDI QIDQ3986762

Julia L. Higle, Suvrajeet Sen

Publication date: 27 June 1992

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.16.3.650

zbMATH Keywords

convergencepiecewise linear approximationscutting plane algorithmtwo-stage stochastic linear programs with recourse

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15) Hierarchical systems (93A13) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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