Statistical verification of optimality conditions for stochastic programs with recourse

DOI10.1007/BF02204818zbMath0762.90060MaRDI QIDQ1178441

Julia L. Higle, Suvrajeet Sen

Publication date: 26 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

Lagrangian dualityrecoursestochastic linear programmingKuhn-Tucker optimality conditions

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Applications of mathematical programming (90C90) Stochastic programming (90C15) Stochastic approximation (62L20) Decomposition methods (49M27) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Cites Work

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• Approximation to Optimization Problems: An Elementary Review
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse

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