Applied Mathematical Programming and Modeling IV (APMOD 98)Hercules Vladimirou |
Contents
Preface | 13 |
Foreword | 21 |
PrimalDual Constraint Aggregation with Application to Stochastic Programming | 41 |
Copyright | |
21 other sections not shown
Common terms and phrases
active set aggregation algorithm analysis applied approach approximate asset bond capacity coefficients components computational considered constraints convergence convex corresponding CPLEX cutting plane data set decision variables decomposition defined denote distribution dynamic equation error feasible first-stage fixed costs flexibility formulation heuristic hyperplane implementation index set initial integer integer linear programming interior point interior point methods investment Italian Liras knapsack problem Lagrangian learning lemma linear programming lower bound machine Mathematical Programming maximize maximum method MILP multistage stochastic N-scenarios tree node objective function obtained Operations Research optimal solution optimal value optimization problem option paper parallel parameters polytope portfolio selection primal-dual procedure production programming problems Proof quadratic random replacement reservoir volume risk scenario simulation solve stochastic optimization stochastic programming strategy subproblems theorem tion transaction costs tuple University update upper bound vector yield yield curve