A multistage stochastic programming algo
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JΓΆrgen Blomvall
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Article
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2003
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Elsevier Science
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English
β 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