A first order approach to a class of multi-time-period stochastic programming problems

DOI10.1007/BFB0121115MaRDI QIDQ3730352zbMATH OpenFDO

Authors E. M. L. Beale, George Dantzig, Ralph D. Watson

Publication date 1986

Published in Mathematical Programming Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BFB0121115

zbMATH Keywords

approximationmarginal gamma distributionsmulti-period stochastic linear programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• Multiperiod stochastic optimization problems with time-consistent risk constraints
• Multistage stochastic programming problems; stability and approximation
• Multi-horizon stochastic programming
• Periodical multistage stochastic programs
• Stochastic Programs with First-Order Dominance Constraints Induced by Mixed-Integer Linear Recourse
• scientific article; zbMATH DE number 1300222
• Time-consistent approximations of risk-averse multistage stochastic optimization problems
• Solution approaches for the multiobjective stochastic programming
• An algorithm for stochastic programs with first-order dominance constraints induced by linear recourse
• Stochastic First- and Zeroth-Order Methods for Nonconvex Stochastic Programming

Cited in

(3)

• scientific article; zbMATH DE number 1389742 (Why is no real title available?)
• On a Multi-stage Stochastic Programming Model for Inventory Planning
• Parallel processors for planning under uncertainty

This page was built for publication: A first order approach to a class of multi-time-period stochastic programming problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3730352)