Multiplier Stabilization Applied to Two-Stage Stochastic Programs
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References listed on IDEAS
- Suvrajeet Sen & Yifan Liu, 2016. "Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction," Operations Research, INFORMS, vol. 64(6), pages 1422-1437, December.
- Wim Ackooij & Jérôme Malick, 2016. "Decomposition algorithm for large-scale two-stage unit-commitment," Annals of Operations Research, Springer, vol. 238(1), pages 587-613, March.
- Wim Ackooij & Jérôme Malick, 2016. "Decomposition algorithm for large-scale two-stage unit-commitment," Annals of Operations Research, Springer, vol. 238(1), pages 587-613, March.
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Keywords
Multiplier stability; Dual regularization; Penalty method; Stochastic programming; Two-stage stochastic programming; Empirical approximations; Stabilité multiplicateur; Régularisation double; Méthode de pénalité; Programmation stochastique; Programmation stochastique en deux étapes; Approximations empiriques;All these keywords.
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