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线性规划对偶
原创 2021-07-27 00:19:47 · 93 阅读 · 0 评论 -
《Lectures on Stochastic Programming: Modeling and Theory》第一章自学笔记
目录1 Stochastic Programming Models1.2 Inventory1.2.1 The Newsvendor Problem1.2.2 Chance Constraints1.2.3 Multistage Models1 Stochastic Programming Models1.2 Inventory1.2.1 The Newsvendor Problem1.2.2 Chance Constraints1.2.3 Multistage Models原创 2021-07-03 14:15:52 · 737 阅读 · 0 评论 -
Dantzig-Wolfe Decomposition
Some important conceptsA polyhedron is a set that can be described in the form {x∈Rn∣Ax≥b}\{\mathcal{x}\in \mathcal{R^n}|\bm{Ax\ge b}\}{x∈Rn∣Ax≥b}, where A\bm{A}A is an m×nm\times nm×n matrix and b\b...原创 2019-11-05 18:51:01 · 1495 阅读 · 0 评论 -
Convex Optimization
strongly convexA function is strongly convex on S if there exists an m>0m>0m>0 such that▽2f(x)⪰mI\bigtriangledown^2f(x)\succeq mI▽2f(x)⪰mIfor all x∈Sx\in Sx∈S.原创 2019-12-19 15:31:36 · 125 阅读 · 0 评论 -
Optimality Gap
感谢作者:Sixiang链接:https://www.zhihu.com/question/269744506/answer/349542590来源:知乎Optimality gap 可以看做是当前找到的最优解 (best known solution)与最优解的界 (a value that bounds the best solution) 之间的距离。按照这个定义 ,duality ...原创 2019-11-13 08:41:14 · 1499 阅读 · 0 评论