ISSN:
1436-4646
Keywords:
Stochastic programming
;
Polyhedral functions
;
Simplicial functions
Source:
Springer Online Journal Archives 1860-2000
Topics:
Computer Science
,
Mathematics
Notes:
Abstract A dual method is presented to solve a linearly constrained optimization problem with convex, polyhedral objective function, along with a fast bounding technique, for the optimum value. The method can be used to solve problems, obtained from LPs, where some of the constraints are not required to be exactly satisfied but are penalized by piecewise linear functions, which are added to the objective function of the original problem. The method generalizes an earlier solution technique developed by Prékopa (1990). Applications to stochastic programming are also presented.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01585925
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