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Marginal relations for the linear problem of multistage stochastic programming

โœ Scribed by A. I. Yastremskii

Publisher
Springer US
Year
1980
Tongue
English
Weight
207 KB
Volume
16
Category
Article
ISSN
1573-8337

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A progressive hedging method incorporated with self-concordant barrier for solving multistage stochastic programs is proposed recently by Zhao [G. Zhao, A Lagrangian dual method with self-concordant barrier for multistage stochastic convex nonlinear programming, Math. Program. 102 (2005) 1-24]. The