Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
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Publication:3986762
DOI10.1287/moor.16.3.650zbMath0746.90045OpenAlexW2040358553MaRDI QIDQ3986762
Publication date: 27 June 1992
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.16.3.650
convergencepiecewise linear approximationscutting plane algorithmtwo-stage stochastic linear programs with recourse
Linear programming (90C05) Stochastic programming (90C15) Hierarchical systems (93A13) Computational methods for problems pertaining to operations research and mathematical programming (90-08)
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