Discrete approximation of linear two–stage stochastic programming problem

DOI10.1080/01630568708816224MaRDI QIDQ3714905zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• Approximations to stochastic programs with complete fixed recourse
• Approximative methods for nonlinear equations (two approaches to the convergence problem)
• Discrete approximation and stability in extremal problems
• 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

Cited in

(19)

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• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
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• 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
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• Discrete approximation and convergence analysis for a class of decision-dependent two-stage stochastic linear programs
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