The Scenario Generation Algorithm for Multistage Stochastic Linear Programming

DOI10.1287/moor.1050.0146zbMath1082.90076OpenAlexW2162515354MaRDI QIDQ5704240

Suvrajeet Sen, Michael S. Casey

Publication date: 11 November 2005

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

Full work available at URL: https://semanticscholar.org/paper/459afbcfdb22a2a3be4920152b2239f17fc43368

zbMATH Keywords

multistage stochastic linear program, stochastic optimization, scenario tree generation, finite element methods

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Linear programming (90C05) Stochastic programming (90C15)

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