Solving stochastic programming problems with recourse including error bounds

DOI10.1080/02331938208842805MaRDI QIDQ4745619zbMATH OpenOpenAlexFDO

Authors P. Kall, Dietrich Stoyan

Publication date 1982

Published in Mathematische Operationsforschung und Statistik. Series Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331938208842805

zbMATH Keywords

approximating recourse problemscomputational experienceconvexity and integrability assumptionsdifferentiabilityerror estimatesJensen's inequalityLipschitz continuityrecourse

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Cited in

(33)

• Refining bounds for stochastic linear programs with linearly transformed independent random variables
• Sublinear upper bounds for stochastic programs with recourse
• Stochastic programming
• Distribution sensitivity in stochastic programming
• Approximate nonlinear programming algorithms for solving stochastic programs with recourse
• Bounding separable recourse functions with limited distribution information
• An upper bound on the expectation of simplicial functions of multivariate random variables
• SLP-IOR: An interactive model management system for stochastic linear programs
• Nonsmooth-optimization methods in problems of stochastic programming
• The approximation of separable stochastic programs
• Numerical aspects of monotone approximations in convex stochastic control problems
• A simple recourse model for power dispatch under uncertain demand
• Restricted recourse strategies for bounding the expected network recourse function
• A hierarchy of bounds for stochastic mixed-integer programs
• On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems
• Stability and sensitivity-analysis for stochastic programming
• On multiple simple recourse models
• Solving two-stage stochastic programming problems with level decomposition
• Some insights into the solution algorithms for SLP problems
• Stochastic programs with recourse: An upper bound and the related moment problem
• Bounds on the value of information in uncertain decision problems II
• Bounding procedures for multistage stochastic dynamic networks
• A regularized decomposition method for minimizing a sum of polyhedral functions
• Computing probabilites of rectangles in case of multinormal distribution
• A distribution stability result for a stochastic optimal control problem
• A piecewise linear upper bound on the network recourse function
• scientific article; zbMATH DE number 4039643 (Why is no real title available?)
• Investing in arcs in a network to maximize the expected max flow
• Deterministic approximations of probability inequalities
• Multistage stochastic programming: Error analysis for the convex case
• On the role of bounds in stochastic linear programming
• The minimax approach to stochastic programming and an illustrative application
• Parallel processors for planning under uncertainty

This page was built for publication: Solving stochastic programming problems with recourse including error bounds

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4745619)