Implementing bounds-based approximations in convex-concave two-stage stochastic programming

DOI10.1007/BF02592157MaRDI QIDQ1363431zbMATH OpenFDO

Authors N. Chanaka P. Edirisinghe, William T. Ziemba

Publication date 7 August 1997

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

zbMATH Keywords

numerical experiments\(L\)-shaped decompositionbounds on expectation of saddle functionsbounds-based approximationspartitioning strategies for rectanglessuccessive scenario clusterstwo-stage stochastic programs with fixed recourse

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 4062822 (Why is no real title available?)
• scientific article; zbMATH DE number 3756246 (Why is no real title available?)
• scientific article; zbMATH DE number 193918 (Why is no real title available?)
• scientific article; zbMATH DE number 3497598 (Why is no real title available?)
• scientific article; zbMATH DE number 622005 (Why is no real title available?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Bounds for Two-Stage Stochastic Programs with Fixed Recourse
• Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Second-order scenario approximation and refinement in optimization under uncertainty
• Stochastic two-stage programming

Cited in

(5)

• Towards global solutions for nonconvex two-stage stochastic programs: a polynomial lower approximation approach
• On the safe side of stochastic programming: bounds and approximations
• Simulation-based confidence bounds for two-stage stochastic programs
• Second-order scenario approximation and refinement in optimization under uncertainty
• On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems

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