Second-order scenario approximation and refinement in optimization under uncertainty

DOI10.1007/BF02187644MaRDI QIDQ1918426zbMATH OpenOpenAlexFDO

Authors G.-M. You, N. Chanaka P. Edirisinghe

Publication date 31 July 1996

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02187644

zbMATH Keywords

scenario-based stochastic programmingsimplicial partitioning of joint domainstwo-stage stochastic programs

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
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• Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case
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• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• stochastic quasigradient methods and their application to system optimization^†
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Cited in

(5)

• Implementing bounds-based approximations in convex-concave two-stage stochastic programming
• On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems
• Problem-based optimal scenario generation and reduction in stochastic programming
• Multiperiod portfolio optimization with terminal liability: bounds for the convex case
• MINIMIZING MAKESPAN IN A MULTICLASS FLUID NETWORK WITH PARAMETER UNCERTAINTY

Describes a project that uses

Uses Software

• MSLiP

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