A Gaussian upper bound for Gaussian multi-stage stochastic linear programs

MaRDI QIDQ1373757zbMATH OpenFDO

Authors Eithan Schweitzer, Mordecai Avriel

Publication date 25 November 1997

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

zbMATH Keywords

Gaussian random variablesGaussian right-hand sidesmulti-stage stochastic programssemidefinite programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

Recommendations

• Upper bounds for Gaussian stochastic programs
• Bounds in multistage linear stochastic programming
• Bounding multi-stage stochastic programs from above

Cited in

(5)

• Upper bounds for Gaussian stochastic programs
• Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies
• scientific article; zbMATH DE number 4082630 (Why is no real title available?)
• Optimizing the Expected Maximum of Two Linear Functions Defined on a Multivariate Gaussian Distribution
• Bounding multi-stage stochastic programs from above

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Uses Software

• MSLiP

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