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A Primal-Dual Decomposition Algorithm for Multistage Stochastic Convex Programming

✍ Scribed by Arjan Berkelaar; Joaquim A. S. Gromicho; Roy Kouwenberg; Shuzhong Zhang


Publisher
Springer-Verlag
Year
2005
Tongue
English
Weight
388 KB
Volume
104
Category
Article
ISSN
0025-5610

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A multistage stochastic programming algo
✍ JΓΆrgen Blomvall πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 187 KB

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