Refining bounds for stochastic linear programs with linearly transformed independent random variables

DOI10.1016/0167-6377(86)90106-9zbMath0596.90073OpenAlexW2073310427MaRDI QIDQ1079127

John R. Birge, Stein W. Wallace

Publication date: 1986

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/2027.42/26111

zbMATH Keywords

approximationstwo-stage stochastic programmingadaptive discretizationbounds on the recourse problemdependent right-hand side

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Stochastic programming (90C15)

Related Items (4)

Restricted recourse strategies for bounding the expected network recourse function ⋮ A piecewise linear upper bound on the network recourse function ⋮ Bounding multi-stage stochastic programs from above ⋮ Applying the progressive hedging algorithm to stochastic generalized networks

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Partitioning procedures for solving mixed-variables programming problems
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• A tight upper bound for the expectation of a convex function of a multivariate random variable
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Solving stochastic programs with network recourse
• Solving stochastic programming problems with recourse including error bounds
• On stochastic linear programming distribution problems, stochastic technology matrix
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

This page was built for publication: Refining bounds for stochastic linear programs with linearly transformed independent random variables