A branch-and-bound method for multistage stochastic integer programs with risk objectives
نویسندگان
چکیده
منابع مشابه
A Branch-and-Bound Method for Multistage Stochastic Integer Programs with Risk Objectives
We identify multistage stochastic integer programs with risk objectives where the related wait-andsee problems enjoy similar separability as in the risk neutral case. For models belonging to this class we present a solution method combining branch-and-bound with relaxation of nonanticipativity and constraint branching along nonanticipativity subspaces.
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ژورنال
عنوان ژورنال: Optimization
سال: 2008
ISSN: 0233-1934,1029-4945
DOI: 10.1080/02331930701779906