An interior-point and decomposition approach to multiple stage stochastic programming
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- Ankur Kulkarni & Uday Shanbhag, 2012. "Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms," Computational Optimization and Applications, Springer, vol. 51(1), pages 77-123, January.
- Valle, C.A. & Meade, N. & Beasley, J.E., 2014. "Absolute return portfolios," Omega, Elsevier, vol. 45(C), pages 20-41.
- X. W. Liu & M. Fukushima, 2006. "Parallelizable Preprocessing Method for Multistage Stochastic Programming Problems," Journal of Optimization Theory and Applications, Springer, vol. 131(3), pages 327-346, December.
- Jie Sun & Xinwei Liu, 2006. "Scenario Formulation of Stochastic Linear Programs and the Homogeneous Self-Dual Interior-Point Method," INFORMS Journal on Computing, INFORMS, vol. 18(4), pages 444-454, November.
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