The scenario generation algorithm for multistage stochastic linear programming

Mathematics of Operations Research

Volumn 30, Issue 3, 2005, Pages 615-631

  Casey, Michael S ^a   Sen, Suvrajeet ^b  

^a University of Arizona ^*  (United States)

^b UNIVERSITY OF ARIZONA   (United States)

Author keywords

Finite element methods; Multistage stochastic linear program; Scenario tree generation; Stochastic optimization

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTATION THEORY; FINITE ELEMENT METHOD; RANDOM PROCESSES; STOCHASTIC CONTROL SYSTEMS;

MULTISTAGE STOCHASTIC LINEAR PROGRAM; SCENARIO TREE GENERATION; STOCHASTIC OPTIMIZATION;

LINEAR PROGRAMMING;

EID: 31144445025     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.1050.0146     Document Type: Article

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