Decomposition Methods

Research output: Contribution to journalReview article

58 Scopus citations

Abstract

Two- and multistage stochastic programming problems have very large dimension and characteristic structures which are tractable by decomposition. We present cutting plane methods, nested decomposition methods, regularized decomposition methods, trust region methods, augmented Lagrangian methods, and splitting methods for convex stochastic programming problems.

Original languageEnglish (US)
Pages (from-to)141-211
Number of pages71
JournalHandbooks in Operations Research and Management Science
Volume10
Issue numberC
DOIs
StatePublished - Dec 1 2003

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics
  • Computer Science Applications
  • Management Science and Operations Research

Keywords

  • Stochastic programming
  • decomposition
  • dual methods
  • operator splitting
  • primal methods

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