Discrete approximation of linear two–stage stochastic programming problem

DOI10.1080/01630568708816224zbMATH Open0587.90078OpenAlexW1963722999MaRDI QIDQ3714905FDOQ3714905

Authors: R. E. Lepp 

Publication date: 1987

Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01630568708816224

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zbMATH Keywords

approximate solutiondiscrete approximationcomplete recoursesequence of solutionslinear two-stage stochastic programmingweak limit points

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Cites Work

• Approximative methods for nonlinear equations (two approaches to the convergence problem)
• Linear programming under uncertainty
• Multistage Stochastic Programming with Recourse As Mathematical Programming in an $L_p $ Space
• On the convergence of the method of mechanical quadratures for integral equations with discontinuous kernels
• Approximations to stochastic programs with complete fixed recourse
• Discrete approximation and stability in extremal problems

Cited In (18)

• On solution of stochastic linear programs by discretization methods
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Title not available (Why is that?)
• Title not available (Why is that?)
• Refining bounds for stochastic linear programs with linearly transformed independent random variables
• Approximation of decision rules in stochastic programming
• Continuous approximation schemes for stochastic programs
• Stability in multistage stochastic programming
• Title not available (Why is that?)
• Discrete approximation and convergence analysis for a class of decision-dependent two-stage stochastic linear programs
• Projection and discretization methods in stochastic programming
• Approximations to Stochastic Programs with Complete Recourse
• Title not available (Why is that?)
• Title not available (Why is that?)
• Discrete approximation for two-stage stochastic variational inequalities
• Title not available (Why is that?)
• Distribution sensitivity in stochastic programming
• Deviation measures in linear two-stage stochastic programming

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