Browsing Stochastic Programming E-print Series (SPEPS) by Subject "decomposition"
Now showing items 1-2 of 2
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2002-07-07BuchDuality gaps in nonconvex stochastic optimization We consider multistage stochastic optimization models. Logical or integrality constraints, frequently present in optimization models, limit the application of powerful convex analysis tools. Different Lagrangian relaxation ...
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2003-06-20BuchSubtree decomposition for multistage stochastic programs An algorithm for solving multistage stochastic recourse problems is described. The scenario tree is decomposed using a cover of subtrees. The progressive hedging algorithm is used to ensure implementability across the ...