Continuous approximation schemes for stochastic programs

DOI10.1007/BF02031698MaRDI QIDQ1896441zbMATH OpenOpenAlexFDO

Authors Liqun Qi, John R. Birge

Publication date 27 August 1995

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02031698

zbMATH Keywords

complexity of discrete approximation schemesdifferentiability propertystochastic two-stage programs

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• scientific article; zbMATH DE number 3878686
• Discrete approximation of linear two–stage stochastic programming problem
• scientific article; zbMATH DE number 1145256
• scientific article; zbMATH DE number 3970532

Cites work

• scientific article; zbMATH DE number 3932999 (Why is no real title available?)
• scientific article; zbMATH DE number 4062822 (Why is no real title available?)
• scientific article; zbMATH DE number 4079161 (Why is no real title available?)
• scientific article; zbMATH DE number 4089327 (Why is no real title available?)
• scientific article; zbMATH DE number 3497598 (Why is no real title available?)
• A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs
• A class of Wasserstein metrics for probability distributions
• Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
• Boole-Bonferroni Inequalities and Linear Programming
• Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
• Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
• Continuous approximation schemes for stochastic programs
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Distribution sensitivity analysis for stochastic programs with complete recourse
• Distribution sensitivity in stochastic programming
• Lipschitz continuity of objective functions in stochastic programs with fixed recourse and its applications
• Optimization and nonsmooth analysis
• Semiregularity and Generalized Subdifferentials with Applications to Optimization
• Stability analysis for stochastic programs
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Stochastic two-stage programming
• Sublinear upper bounds for stochastic programs with recourse
• The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications
• Three digit accurate multiple normal probabilities
• stochastic quasigradient methods and their application to system optimization^†

Cited in

(4)

• An information-based approximation scheme for stochastic optimization problems in continuous time
• Continuous approximation schemes for stochastic programs
• An SQP-type method and its application in stochastic programs
• Resource allocation for contingency planning: an inexact proximal bundle method for stochastic optimization

Describes a project that uses

Uses Software

• Algorithm 647

This page was built for publication: Continuous approximation schemes for stochastic programs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1896441)