Relaxations for probabilistically constrained programs with discrete random variables (Q1197883): Difference between revisions
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Revision as of 08:18, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Relaxations for probabilistically constrained programs with discrete random variables |
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Relaxations for probabilistically constrained programs with discrete random variables (English)
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16 January 1993
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The author suggests a new method providing an outer convex approximation of the (generally nonconvex) set of feasible solutions typical for stochastic linear programs with joint probability constraints and random discretely distributed right-hand sides. The relaxed problems are of the form of linear programs and their optimal values serve as bounds for the optimal value of the original stochastic program.
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outer convex approximation
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stochastic linear programs
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joint probability constraints
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random discretely distributed right-hand sides
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