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Encyclopedia of Optimization pp 619–627Cite as

Decomposition Algorithms for the Solution of Multistage Mean-Variance Optimization Problems

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Article Outline

Abstract

Background

  Problem Statement

Methods

  Nested Benders Decomposition (NBD)

  Augmented Lagrangian Decomposition (ALD)

  Numerical Experiments

References

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Author information

Authors and Affiliations

  1. Department of Computing, Imperial College, London, UK

    Panos Parpas & Berç Rustem

Authors
  1. Panos Parpas
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  2. Berç Rustem
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Editor information

Editors and Affiliations

  1. Department of Chemical Engineering, Princeton University, Princeton, NJ, 08544-5263, USA

    Christodoulos A. Floudas

  2. Center for Applied Optimization, Department of Industrial and Systems Engineering, University of Florida, Gainesville, FL, 32611-6595, USA

    Panos M. Pardalos

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© 2008 Springer-Verlag

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Parpas, P., Rustem, B. (2008). Decomposition Algorithms for the Solution of Multistage Mean-Variance Optimization Problems . In: Floudas, C., Pardalos, P. (eds) Encyclopedia of Optimization. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-74759-0_111

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