On the role of bounds in stochastic linear programming
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The authors introduce two-stage stochastic linear programs with fixed recourse and stochastic linear programs with joint probabilistic constraints and provide an outline of the main algorithmic approaches for solving these problems. Usage of bounds in developing algorithms is briefly summarized and demonstrated by computational results of several test runs carried out by utilizing the model management system SLP-IOR.
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Cites work
- A simulation-based approach to two-stage stochastic programming with recourse
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Cited in
(10)- Refining bounds for stochastic linear programs with linearly transformed independent random variables
- Restricted-recourse bounds for stochastic linear programming
- Stochastic programming approximations using limited moment information, with application to asset allocation
- Sequential bounding methods for two-stage stochastic programs
- scientific article; zbMATH DE number 3850829 (Why is no real title available?)
- Aggregation bounds in stochastic linear programming
- A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs
- Bounds for and approximations to stochastic linear programs with recourse. (Tutorial)
- Bounds for Two-Stage Stochastic Programs with Fixed Recourse
- Bounds in multistage linear stochastic programming
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