Subgradient decomposition and differentiability of the recourse function of a two stage stochastic linear program

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

zbMATH Keywords

approximationsdifferentiability of the recourse functionsubgradient decompositiontwo stage stochastic linear program

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonsmooth analysis (49J52)

Recommendations

• scientific article; zbMATH DE number 4068617
• scientific article; zbMATH DE number 1488896
• Differential stability of two-stage stochastic programs
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• scientific article; zbMATH DE number 29658

Cites Work

• scientific article; zbMATH DE number 3115465 (Why is no real title available?)
• scientific article; zbMATH DE number 50640 (Why is no real title available?)
• scientific article; zbMATH DE number 3497598 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Lifting projections of convex polyhedra
• Linear programming under uncertainty
• On the interchange of subdifferentiation and conditional expectation for convex functionals
• Solving stochastic programs with simple recourse
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Stochastic convex programming: basic duality

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

This page was built for publication: Subgradient decomposition and differentiability of the recourse function of a two stage stochastic linear program

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q688928)