Formulating Two-Stage Stochastic Programs for Interior Point Methods
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Publication:3988906
DOI10.1287/opre.39.5.757zbMath0739.90048MaRDI QIDQ3988906
John M. Mulvey, Irvin J. Lustig, Tamra J. Carpenter
Publication date: 28 June 1992
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.39.5.757
interior point algorithms; financial planning; stochastic networks; two-stage stochastic programs; split variable approach; staircase constraint structure
90C15: Stochastic programming
90B15: Stochastic network models in operations research
90-08: Computational methods for problems pertaining to operations research and mathematical programming
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