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Managing product availability in an assemble-to-order supply chain with multiple customer segments

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Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints

Huang, Pu; Subramanian, Dharmashankar - In: Computational Management Science 9 (2012) 4, pp. 441-458

We present a new algorithm, iterative estimation maximization (IEM), for stochastic linear programs with conditional value-at-risk constraints. IEM iteratively constructs a sequence of linear optimization problems, and solves them sequentially to find the optimal solution. The size of the...

Persistent link: https://www.econbiz.de/10010600731