Abstract
Nested decomposition is extended to the case of arborescent nonlinear programs. Duals of extensive forms of nonlinear multistage stochastic programs constitute a particular class of those problems; the method is tested on a set of problems of that type.
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Noël, MC., Smeers, Y. Nested decomposition of multistage nonlinear programs with recourse. Mathematical Programming 37, 131–152 (1987). https://doi.org/10.1007/BF02591691
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DOI: https://doi.org/10.1007/BF02591691