Titlebook: System Modelling and Optimization; Methods, Theory and M. J. D. Powell,S. Scholtes Conference proceedings 2000 IFIP International Federati

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Algorithmic Implications of Duality in Stochastic Programs,ing plane algorithm that can be used to solve such problems. The algorithm, which is based on a scenario decomposition derived from the dual statement of the problem, is best viewed as a conceptual algorithm. Nevertheless, it lends itself to the use of sampled data, and enhancements necessary to pro

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