Multistage quadratic stochastic programming
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Cites work
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- A globally convergent Newton method for convex \(SC^ 1\) minimization problems
- A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
- A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
- A nonsmooth version of Newton's method
- A parallel inexact Newton method for stochastic programs with recourse
- A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem
- An enhanced decomposition algorithm for multistage stochastic hydroelectric scheduling
- An Extension of the DQA Algorithm to Convex Stochastic Programs
- Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
- Cut sharing for multistage stochastic linear programs with interstage dependency
- Decomposition Principle for Linear Programs
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- Introduction to sensitivity and stability analysis in nonlinear programming
- Introduction to Stochastic Programming
- Linear-Quadratic Programming and Optimal Control
- Minimization of Locally Lipschitzian Functions
- Multistage quadratic stochastic programming
- Newton's method for quadratic stochastic programs with recourse
- On piecewise quadratic Newton and trust region problems
- Parallel decomposition of large-scale stochastic nonlinear programs
- Partitioning procedures for solving mixed-variables programming problems
- Semismooth and Semiconvex Functions in Constrained Optimization
- Stochastic two-stage programming
Cited in
(11)- Moving horizon estimation for discrete-time linear systems with binary sensors: algorithms and stability results
- Two-stage non-cooperative games with risk-averse players
- Newton's method for quadratic stochastic programs with recourse
- Bi-objective multistage stochastic linear programming
- Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic
- Continuity and Stability of a Quadratic Mixed-Integer Stochastic Program
- Conditioning of linear-quadratic two-stage stochastic optimization problems
- Two-Stage Stochastic Programming with Linearly Bi-parameterized Quadratic Recourse
- Multistage quadratic stochastic programming
- On proximal augmented Lagrangian based decomposition methods for dual block-angular convex composite programming problems
- Multi-horizon stochastic programming
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