A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem

DOI10.1287/opre.28.4.889zbMath0441.90076OpenAlexW2165940683MaRDI QIDQ3883909

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1287/opre.28.4.889

zbMATH Keywords

linear inequality constraints numerical experiments quadratic objective function discrete distribution equivalent transformation energy investment multistage stochastic program with recourse nested sequence of piecewise quadratic programs

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Quadratic programming (90C20) Stochastic programming (90C15) Operations research and management science (90B99)

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