Rüdiger Schultz, Gerhard-Mercator-University Duisburg
(SPEPS)
Springer (Berlin [u.a.])
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): |
Werner Römisch, Humboldt University Berlin Rüdiger Schultz, Gerhard-Mercator-University Duisburg | Title: | Multistage stochastic integer programs – An introduction |
| Date of Acceptance: | 04.04.2001 |
| Submission Date: | 02.02.2001 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Appeared in: |
Online Optimization of Large Scale Systems (Buch) (2001)
Springer (Berlin [u.a.]) |
| Metadata export:
To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.
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Endnote Bibtex |
| Abstract (eng): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| We consider linear mulitstage stochastic integer programs and study their functional and dynamic programming formulations as well as conditions for optimality and stability of solutions. Furthermore, we study the application of the Rockafellar-Wets dualization approach as well as the structure and algorithmic potential of corresponding dual problems. For discrete underlying probability distributions we discuss possible large scale mixed-integer linear programming formulations and three dual decomposition approaches, namely, scenario, component and nodal decomposition. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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