An Extension of the DQA Algorithm to Convex Stochastic Programs
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Cited in
(11)- Dynamic models for fixed-income portfolio management under uncertainty
- Strategic financial risk management and operations research
- Financial planning via multi-stage stochastic optimization.
- An inexact Lagrange-Newton method for stochastic quadratic programs with recourse
- An SQP algorithm for extended linear-quadratic problems in stochastic programming
- On augmented Lagrangian decomposition methods for multistage stochastic programs
- Multi-period stochastic portfolio optimization: block-separable decomposition
- A primal-dual decomposition algorithm for multistage stochastic convex programming
- Separable approximations and decomposition methods for the augmented Lagrangian
- An augmented Lagrangian method for distributed optimization
- Multistage quadratic stochastic programming
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