An effective heuristic for multistage linear programming with a stochastic right-hand side

DOI10.1016/J.COR.2014.06.010MaRDI QIDQ337144zbMATHOpenAlexFDO

Authors R. E. Rodriguez-Ravines, C. Beltran-Royo, Laureano F. Escudero Bueno, Juan F. Monge

Publication date 10 November 2016

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2014.06.010

zbMATH Keywords

conditional expectationscenario treemultistage stochastic programmingrevenue managementconstraint aggregation

Mathematics Subject Classification ID

Linear programming (90C05) Approximation methods and heuristics in mathematical programming (90C59) Stochastic programming (90C15)

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Cited in

(2)

• Stochastic linear programming method for right-hand sides random vector
• Multiperiod portfolio investment using stochastic programming with conditional value at risk

Describes a project that uses

Uses Software

• CPLEX

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