Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems

DOI10.1287/ijoc.1050.0163zbMath1241.90095MaRDI QIDQ2892332

Berc Rustem, Panos Parpas

Publication date: 18 June 2012

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/17248c3e7ddf2fb120571aec55e943466ed1d98b

zbMATH Keywords

stochastic programming; quadratic programming; large-scale optimization; mean-variance optimization

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C20: Quadratic programming

90C15: Stochastic programming

90C59: Approximation methods and heuristics in mathematical programming

Uses Software

• BPMPD
• MSLiP