A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming

DOI10.1007/BFB0121126zbMATH Open0599.90090OpenAlexW116303816MaRDI QIDQ3735474FDOQ3735474

Authors: Roger J.-B. Wets, R. T. Rockafellar 

Publication date: 1986

Published in: Mathematical Programming Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bfb0121126

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zbMATH Keywords

discrete random variableslinear-quadratic problemconvergence propertiesLagrangian methodssequence of subproblemstwo-stage linear-quadratic stochastic programming

Mathematics Subject Classification ID

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

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