Scenarios and Policy Aggregation in Optimization Under Uncertainty

DOI10.1287/moor.16.1.119zbMath0729.90067OpenAlexW1969007958WikidataQ89283043 ScholiaQ89283043MaRDI QIDQ3354472

Roger J.-B. Wets, R. Tyrrell Rockafellar

Publication date: 1991

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

Full work available at URL: https://semanticscholar.org/paper/6f2e62b12a803ee8f01725226a3d4a6aba86b6da

zbMATH Keywords

augmented Lagrangianproximal point algorithmrobust decisionsscenario analysismultistage optimization problems under uncertainty

Mathematics Subject Classification ID

Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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