Scenario analysis via bundle decomposition

DOI10.1007/BF02031699zbMath0838.90088OpenAlexW2060281378MaRDI QIDQ1896443

Bock Jin Chun, Stephen M. Robinson

Publication date: 27 August 1995

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

Full work available at URL: https://doi.org/10.1007/bf02031699

zbMATH Keywords

production planningtrust-region methodprogressive hedging algorithmscenario analysisbundle decomposition method

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Production models (90B30)

Related Items

Parallelizable preprocessing method for multistage stochastic programming problems, Solving dynamic stochastic economic models by mathematical programming decomposition methods, Decomposition methods in stochastic programming, A Decomposition Algorithm for Two-Stage Stochastic Programs with Nonconvex Recourse Functions, On the implementation of a log-barrier progressive hedging method for multistage stochastic programs, A Lagrangian dual method with self-concordant barriers for multi-stage stochastic convex programming

Uses Software

• MINOS

Cites Work

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