Implementing bounds-based approximations in convex-concave two-stage stochastic programming
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Publication:1363431
DOI10.1007/BF02592157zbMath0874.90143MaRDI QIDQ1363431
William T. Ziemba, N. Chanaka P. Edirisinghe
Publication date: 7 August 1997
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
numerical experiments; \(L\)-shaped decomposition; bounds on expectation of saddle functions; bounds-based approximations; partitioning strategies for rectangles; successive scenario clusters; two-stage stochastic programs with fixed recourse
90C15: Stochastic programming
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