Implementing bounds-based approximations in convex-concave two-stage stochastic programming
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Publication:1363431
DOI10.1007/BF02592157zbMath0874.90143MaRDI QIDQ1363431
William T. Ziemba, N. Chanaka P. Edirisinghe
Publication date: 7 August 1997
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
numerical experiments; \(L\)-shaped decomposition; bounds on expectation of saddle functions; bounds-based approximations; partitioning strategies for rectangles; successive scenario clusters; two-stage stochastic programs with fixed recourse
90C15: Stochastic programming
Related Items
On the safe side of stochastic programming: bounds and approximations, Second-order scenario approximation and refinement in optimization under uncertainty, On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems
Cites Work
- Stochastic two-stage programming
- Second-order scenario approximation and refinement in optimization under uncertainty
- Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
- Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
- Bounds for Two-Stage Stochastic Programs with Fixed Recourse
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
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