A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs

DOI10.1137/0326042MaRDI QIDQ3790947zbMATH OpenOpenAlexFDO

Authors John R. Birge, Stein W. Wallace

Publication date 1988

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0326042

zbMATH Keywords

linear stochastic programmingpiecewise linear upper bound approximation

Mathematics Subject Classification ID

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

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