A piecewise linear upper bound on the network recourse function

DOI10.1007/BF02604638MaRDI QIDQ3770284zbMATH OpenOpenAlexFDO

Authors Stein W. Wallace

Publication date 1987

Published in Mathematical Programming (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02604638

zbMATH Keywords

Madansky boundnetwork recourse functionpure minimum cost network flow problemupper bound

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Stochastic programming (90C15) Programming involving graphs or networks (90C35)

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Cites work

• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• A tight upper bound for the expectation of a convex function of a multivariate random variable
• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• scientific article; zbMATH DE number 3961334 (Why is no real title available?)
• scientific article; zbMATH DE number 4079139 (Why is no real title available?)
• scientific article; zbMATH DE number 3791942 (Why is no real title available?)
• NETGEN: A Program for Generating Large Scale Capacitated Assignment, Transportation, and Minimum Cost Flow Network Problems
• Partitioning procedures for solving mixed-variables programming problems
• Refining bounds for stochastic linear programs with linearly transformed independent random variables
• Solving stochastic programming problems with recourse including error bounds
• Solving stochastic programs with network recourse

Cited in

(13)

• A tighter variant of Jensen's lower bound for stochastic programs and separable approximations to recourse functions
• Solving many linear programs that differ only in the right-hand side
• Sublinear upper bounds for stochastic programs with recourse
• Bounding separable recourse functions with limited distribution information
• Restricted recourse strategies for bounding the expected network recourse function
• An upper bound on the expected value of a non-increasing convex function with convex marginal return functions
• Single-commodity network design with random edge capacities
• Designing a majorization scheme for the recourse function in two-stage stochastic linear programming
• A successive convex approximation method for multistage workforce capacity planning problem with turnover
• An arc-exchange decomposition method for multistage dynamic networks with random arc capacities
• Generalized decision rule approximations for stochastic programming via liftings
• On the safe side of stochastic programming: bounds and approximations
• Bounding multi-stage stochastic programs from above

Describes a project that uses

Uses Software

• NETGEN

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