Duality and statistical tests of optimality for two stage stochastic programs

DOI10.1007/BF02592155zbMATH Open0874.90146MaRDI QIDQ1363429FDOQ1363429

Authors: Julia L. Higle, Suvrajeet Sen 

Publication date: 7 August 1997

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

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zbMATH Keywords

reduced gradient methodstwo stage stochastic program with recourse

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cites Work

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Cited In (15)

• Simulation-Based Optimality Tests for Stochastic Programs
• Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
• Predictive stochastic programming
• Variance reduction for sequential sampling in stochastic programming
• A stochastic soft constraints fuzzy model for a portfolio selection problem
• Approximations of semicontinuous functions with applications to stochastic optimization and statistical estimation
• Multistage stochastic convex programs: duality and its implications
• Optimality functions in stochastic programming
• A simulation-based approach to two-stage stochastic programming with recourse
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
• Estimation of optimality gap using stratified sampling
• Event tree based sampling
• The empirical behavior of sampling methods for stochastic programming
• Assessing solution quality in stochastic programs

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