Statistical approximations for stochastic linear programming problems

DOI10.1023/A:1018917710373MaRDI QIDQ1289301zbMATH OpenOpenAlexFDO

Authors Julia L. Higle, Suvrajeet Sen

Publication date 28 June 1999

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

Full work available at URL https://doi.org/10.1023/a:1018917710373

zbMATH Keywords

random recoursecutting plane algorithmsstopping ruleslarge-scale stochastic linear programming

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

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• Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
• Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction
• Conditional Stochastic Decomposition: An Algorithmic Interface for Optimization and Simulation
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• A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
• Asymptotic results of stochastic decomposition for two-stage stochastic quadratic programming
• Simulation-Based Optimality Tests for Stochastic Programs
• General properties of two-stage stochastic programming problems with probabilistic criteria
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• The empirical behavior of sampling methods for stochastic programming
• Stochastic decomposition method for two-stage distributionally robust linear optimization

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