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A parallel computation approach for solvingmultistage stochastic network problems

✍ Scribed by L.F. Escudero; J.L. De La Fuente; C. García; F.J. Prieto


Book ID
110379283
Publisher
Springer US
Year
1999
Tongue
English
Weight
338 KB
Volume
90
Category
Article
ISSN
0254-5330

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A multistage stochastic programming algo
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In [Euro. J. Operat. Res. 143 (2002) 452; Opt. Meth. Software 17 (2002) 383] a Riccatibased primal interior point method for multistage stochastic programmes was developed. This algorithm has several interesting features. It can solve problems with a nonlinear node-separable convex objective, local