On the role of bounds in stochastic linear programming

DOI10.1080/02331930008844482MaRDI QIDQ4484947zbMATH OpenOpenAlexFDO

Authors P. Kall, J. Mayer

Publication date 5 June 2000

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331930008844482

zbMATH Keywords

test runstwo-stage stochastic linear programsbounds-based algorithms

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 4074816 (Why is no real title available?)
• A simulation-based approach to two-stage stochastic programming with recourse
• Accelerating the regularized decomposition method for two stage stochastic linear problems
• Approximations to stochastic programs with complete fixed recourse
• Bounds for Two-Stage Stochastic Programs with Fixed Recourse
• Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
• Descent directions and efficient solutions in discretely distributed stochastic programs
• Estimated stochastic programs with chance constraints
• New Second-Order Bounds on the Expectation of Saddle Functions with Applications to Stochastic Linear Programming
• On optimal allocation of indivisibles under uncertainty
• Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case
• Solving stochastic programming problems with recourse including error bounds
• Stochastic decomposition. A statistical method for large scale stochastic linear programming
• The augmented system variant of IPMs in two-stage stochastic linear programming computation

Cited in

(10)

• Aggregation bounds in stochastic linear programming
• scientific article; zbMATH DE number 1187195 (Why is no real title available?)
• Stochastic programming approximations using limited moment information, with application to asset allocation
• A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs
• Restricted-recourse bounds for stochastic linear programming
• Bounds for Two-Stage Stochastic Programs with Fixed Recourse
• Refining bounds for stochastic linear programs with linearly transformed independent random variables
• Sequential bounding methods for two-stage stochastic programs
• Bounds in multistage linear stochastic programming
• scientific article; zbMATH DE number 3850829 (Why is no real title available?)

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Uses Software

• SLP-IOR

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