A primal-dual decomposition algorithm for multistage stochastic convex programming

DOI10.1007/s10107-005-0575-6zbMath1077.90043MaRDI QIDQ2571003

Roy Kouwenberg, Joaquim A. S. Gromicho, Shu-Zhong Zhang, Arjan B. Berkelaar

Publication date: 31 October 2005

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-005-0575-6

zbMATH Keywords

Multistage stochastic programming; Interior point method; Convex objective; Homogeneous self-dual embedding

Mathematics Subject Classification ID

90C25: Convex programming

90C06: Large-scale problems in mathematical programming

90C15: Stochastic programming

90C51: Interior-point methods

Uses Software

• SeDuMi
• Mosek
• SMPS reader
• SLPTESTSET

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