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

DOI10.1287/ijoc.1050.0163zbMath1241.90095OpenAlexW1997695992MaRDI QIDQ2892332

Panos Parpas, Berc Rustem

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 programmingquadratic programminglarge-scale optimizationmean-variance optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (4)

Solving Stochastic Optimization with Expectation Constraints Efficiently by a Stochastic Augmented Lagrangian-Type Algorithm ⋮ Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach ⋮ A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control ⋮ A Multistage Stochastic Programming Approach to the Optimal Surveillance and Control of the Emerald Ash Borer in Cities

Uses Software

• BPMPD
• MSLiP

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