Subgradient decomposition and differentiability of the recourse function of a two stage stochastic linear program
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Publication:688928
DOI10.1016/0167-6377(93)90003-YzbMATH Open0778.90047OpenAlexW1985932945MaRDI QIDQ688928FDOQ688928
Authors: Suvrajeet Sen 
Publication date: 1 November 1993
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6377(93)90003-y
Recommendations
approximationsdifferentiability of the recourse functionsubgradient decompositiontwo stage stochastic linear program
Cites Work
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- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- Linear programming under uncertainty
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
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- Lifting projections of convex polyhedra
- Stochastic convex programming: basic duality
- Solving stochastic programs with simple recourse
- On the interchange of subdifferentiation and conditional expectation for convex functionals
Cited In (4)
- An interval-parameter fuzzy two-stage stochastic program for water resources management under uncertainty
- Partition-based decomposition algorithms for two-stage stochastic integer programs with continuous recourse
- Multicut Benders decomposition algorithm for process supply chain planning under uncertainty
- An asynchronous parallel benders decomposition method for stochastic network design problems
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