This paper gives an algorithm for L-shaped linear programs which arise naturally in optimal control problems with state constraints and stochastic linear programs (which can be represented in this ...

Roughly, we will cover the following topics (some of them may be skipped depending on the time available). Linear Programming: Basics, Simplex Algorithm, and Duality. Applications of Linear ...

Concave objective functions which are both piecewise linear and separable are often encountered in a wide variety of management science problems. Provided the constraints are linear, problems of this ...