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Mslip: A computer code for the multistage stochastic linear programming problem

✍ Scribed by Horand I. Gassmann

Publisher
Springer-Verlag
Year
1990
Tongue
English
Weight
888 KB
Volume
47
Category
Article
ISSN
0025-5610

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A multistage stochastic programming algo
A multistage stochastic programming algorithm suitable for parallel computing
✍ 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