Multistage stochastic convex programs: duality and its implications

DOI10.1007/S10479-006-6165-ZMaRDI QIDQ2507410zbMATH OpenOpenAlexFDO

Authors Suvrajeet Sen, Julia L. Higle

Publication date 11 October 2006

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

Full work available at URL https://doi.org/10.1007/s10479-006-6165-z

zbMATH Keywords

dualityEVPIstochastic programming

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Duality theory (optimization) (49N15) Stochastic programming (90C15) Optimality conditions and duality in mathematical programming (90C46)

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Cites work

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Cited in

(11)

• Duality and optimality in multistage stochastic programming
• A progressive hedging based branch-and-bound algorithm for mixed-integer stochastic programs
• Two-stage linear decision rules for multi-stage stochastic programming
• Cut-sharing across trees and efficient sequential sampling for SDDP with uncertainty in the RHS
• Multiplier stabilization applied to two-stage stochastic programs
• Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
• The \(C^3\) theorem and a \(D^2\) algorithm for large scale stochastic mixed-integer programming: set convexification
• scientific article; zbMATH DE number 4157344 (Why is no real title available?)
• On stochastic programming ii: dynamic problems under risk^∗
• Dual SDDP for risk-averse multistage stochastic programs
• Dynamic oligopolistic games under uncertainty: A stochastic programming approach

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