\(L\)-shaped algorithm for two stage problems of stochastic convex programming (Q1429354)
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English | \(L\)-shaped algorithm for two stage problems of stochastic convex programming |
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\(L\)-shaped algorithm for two stage problems of stochastic convex programming (English)
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18 May 2004
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The paper studies two stage stochastic convex programming. Feasibility is considered for different cases. Some properties related to optimality cuts are presented. An algorithm based on the discussion of feasibility and optimality is proposed and numerical results for a small example are presented.
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stochastic programming
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convex programming
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algorithms
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