Two-stage stochastic programming: Quasigradient method

Two-stage stochastic programming: Quasigradient method

Authors:   Ermoliev Y

Publication Year:   2009

Reference:  In Encyclopedia of Optimization, C.A. Floudas, P.M. Pardalos (eds)
Springer-Verlag, New York, USA pp. 3955-3959

[ISBN 978-0-387-74758-3]

Abstract

KEYWORDS: Two-stage stochastic programming problem; Dynamic two-stage stochastic programming problem; Stochastic decomposition; Anticipation; Learning and adaptation; Conditional-value-at-risk; Safety constraints

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DOI: http://dx.doi.org/10.1007/978-0-387-74759-0_690

CONTACT DETAILS

Yurii Yermoliev

Institute Scholar Advanced Systems Analysis

T +43(0) 2236 807 208

ermoliev@iiasa.ac.at

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313

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