Computational Algorithms for Convex Stochastic Programs with Simple Recourse

DOI10.1287/OPRE.18.3.414MaRDI QIDQ5595964zbMATH OpenOpenAlexWikidataFDO

Authors William T. Ziemba

Publication date 1970

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.18.3.414

zbMATH Keywords

computational algorithmsinventory problemstochastic programming problems

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Inventory, storage, reservoirs (90B05)

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Cited in

(5)

• On a stochastic program with simple recourse
• The minimax approach to stochastic programming and an illustrative application
• A simple randomised algorithm for convex optimisation
• Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
• Restricted Bayes strategies for convex stochastic programs

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