Primal-Dual Aggregation and Disaggregation for Stochastic Linear Programs

DOI10.1287/MOOR.19.4.893MaRDI QIDQ4698105zbMATH OpenOpenAlexFDO

Authors

Publication date 14 May 1995

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

Full work available at URL https://doi.org/10.1287/moor.19.4.893

zbMATH Keywords

coarser information structuremultistage stochastic linear program

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cited in

(18)

• Convergent bounds for stochastic programs with expected value constraints
• Improving aggregation bounds for two-stage stochastic programs
• A survey of adjustable robust optimization
• Constraint generation for risk averse two-stage stochastic programs
• Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse
• Aggregation and discretization in multistage stochastic programming
• Multistage stochastic convex programs: duality and its implications
• Sequential bounding methods for two-stage stochastic programs
• An effective heuristic for multistage linear programming with a stochastic right-hand side
• Bound-based decision rules in multistage stochastic programming
• Aggregation bounds in stochastic linear programming
• A polynomial-time solution scheme for quadratic stochastic programs
• Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse
• An adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse
• Primal-dual constraint aggregation with application to stochastic programming
• On the safe side of stochastic programming: bounds and approximations
• scientific article; zbMATH DE number 7733435 (Why is no real title available?)
• Primal and dual linear decision rules in stochastic and robust optimization

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