Totally Unimodular Multistage Stochastic Programs
Ruichen (Richard) Sun (rus19pitt.edu)
Abstract: We consider totally unimodular multistage stochastic programs, that is, multistage stochastic programs whose extensive-form constraint matrices are totally unimodular. We establish several sufficient conditions and identify examples that have arisen in the literature.
Keywords: Stochastic mixed integer programming; Total unimodularity; Multistage optimization
Category 1: Stochastic Programming
Citation: Ruichen (Richard) Sun, Oleg V. Shylo, Andrew J. Schaefer, Totally unimodular multistage stochastic programs, Operations Research Letters, Volume 43, Issue 1, January 2015, Pages 29-33.
Entry Submitted: 11/03/2014
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