Bounding multi-stage stochastic programs from above
From MaRDI portal
Publication:689156
DOI10.1007/BF01582142zbMath0783.90092MaRDI QIDQ689156
Tiecheng Yan, Stein W. Wallace
Publication date: 6 December 1993
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Related Items
Multistage stochastic programming: Error analysis for the convex case, Parallel decomposition of large-scale stochastic nonlinear programs, Generalized decision rule approximations for stochastic programming via liftings
Cites Work
- Unnamed Item
- Refining bounds for stochastic linear programs with linearly transformed independent random variables
- Sublinear upper bounds for stochastic programs with recourse
- Partitioning procedures for solving mixed-variables programming problems
- Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- Solving stochastic programs with simple recourse
- Multistage stochastic programs with block-separable recourse
- A regularized decomposition method for minimizing a sum of polyhedral functions
- Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
- Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
- A piecewise linear upper bound on the network recourse function
- A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs
- A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem
- NETGEN: A Program for Generating Large Scale Capacitated Assignment, Transportation, and Minimum Cost Flow Network Problems
- Multistage Stochastic Programming with Recourse: The Equivalent Deterministic Problem
- When Is a Multistage Stochastic Programming Problem Well-Defined?
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
