A cutting-surface method for uncertain linear programs with polyhedral stochastic dominance constraints

SIAM Journal on Optimization

Volumn 20, Issue 3, 2009, Pages 1250-1273

  Homem De mello, Tito ^a   Mehrotra, Sanjay ^b  

^a Northwestern University   (United States)

^b 1120 Science and Engineering Offices   (United States)

Author keywords

Convex programming; Cutting plane algorithms; Linear programming; Stochastic dominance; Stochastic ordering; Utility functions

Indexed keywords

CONVEX PROGRAMMING; CUTTING PLANE ALGORITHMS; STOCHASTIC DOMINANCE; STOCHASTIC ORDERINGS; UTILITY FUNCTIONS;

ALGORITHMS; CONVERGENCE OF NUMERICAL METHODS; DYNAMIC PROGRAMMING; LINEAR PROGRAMMING; LINEARIZATION; OPTIMIZATION; STOCHASTIC SYSTEMS;

INTEGER PROGRAMMING;

EID: 73249143662     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/08074009X     Document Type: Article

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