A primal-dual decomposition algorithm for multistage stochastic convex programming

Mathematical Programming

Volumn 104, Issue 1, 2005, Pages 153-177

  Berkelaar, Arjan ^a   Gromicho, Joaquim A S ^b,c   Kouwenberg, Roy ^d   Zhang, Shuzhong ^e  

^a WORLD BANK   (United States)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

^c ORTEC The Netherlands   (Netherlands)

^d ASIAN INSTITUTE OF TECHNOLOGY   (Thailand)

^e CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Convex objective; Homogeneous self dual embedding; Interior point method; Multistage stochastic programming

Indexed keywords

COMPUTATIONAL COMPLEXITY; DECISION MAKING; MATRIX ALGEBRA; OPTIMIZATION; STOCHASTIC PROGRAMMING;

CONVEX OBJECTIVES; HOMOGENOUS SELF-DUAL EMBEDDING; INTERIOR POINT METHOD; MULTISTAGE STOCHASTIC PROGRAMMING;

ALGORITHMS;

EID: 24044468393     PISSN: 00255610     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10107-005-0575-6     Document Type: Article

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