发明名称 |
Method and system for solving stochastic linear programs with conditional value at risk constraints |
摘要 |
An apparatus including a calculator to determine an optimal solution to a stochastic linear programming problem or a stochastic mixed-ineteger linear programming problem with conditional value at risk constraints (CVaRs). The optimal solution is determined by generating a sequence of solutions that converge to the optimal solution.
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申请公布号 |
US7873530(B2) |
申请公布日期 |
2011.01.18 |
申请号 |
US20080110964 |
申请日期 |
2008.04.28 |
申请人 |
INTERNATIONAL BUSINESS MACHINES CORPORATION |
发明人 |
HUANG PU;SUBRAMANIAN DHARMASHANKAR |
分类号 |
G06F0017/000060 |
主分类号 |
G06F0017/000060 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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