A piecewise linear upper bound on the network recourse function
From MaRDI portal
Publication:3770284
DOI10.1007/BF02604638zbMath0632.90049OpenAlexW1981893768MaRDI QIDQ3770284
Publication date: 1987
Published in: Mathematical Programming (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02604638
Programming involving graphs or networks (90C35) Stochastic programming (90C15) Deterministic network models in operations research (90B10)
Related Items
Designing a majorization scheme for the recourse function in two-stage stochastic linear programming, An arc-exchange decomposition method for multistage dynamic networks with random arc capacities, Solving many linear programs that differ only in the right-hand side, Sublinear upper bounds for stochastic programs with recourse, Restricted recourse strategies for bounding the expected network recourse function, An upper bound on the expected value of a non-increasing convex function with convex marginal return functions, Single-commodity network design with random edge capacities, On the safe side of stochastic programming: bounds and approximations, Bounding separable recourse functions with limited distribution information, Generalized decision rule approximations for stochastic programming via liftings, A successive convex approximation method for multistage workforce capacity planning problem with turnover, Bounding multi-stage stochastic programs from above, A tighter variant of Jensen's lower bound for stochastic programs and separable approximations to recourse functions
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Refining bounds for stochastic linear programs with linearly transformed independent random variables
- Partitioning procedures for solving mixed-variables programming problems
- Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- A tight upper bound for the expectation of a convex function of a multivariate random variable
- Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
- Solving stochastic programs with network recourse
- NETGEN: A Program for Generating Large Scale Capacitated Assignment, Transportation, and Minimum Cost Flow Network Problems
- Solving stochastic programming problems with recourse including error bounds
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming