Stochastic two-stage programming

MaRDI QIDQ1310805zbMATH OpenFDO

Authors Karl Frauendorfer

Publication date 20 December 1993

Published in Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

continuitytwo-stage stochastic programmingoptimal value functionsubdifferentiabilitybarycentric approximation schemebilinear functions

Mathematics Subject Classification ID

Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02)

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Cited in

(35)

• Multiobjective two-stage stochastic programming problems with interval discrete random variables
• Multistage stochastic convex programs: duality and its implications
• The stochastic interdiction median problem with disruption intensity levels
• Two-stage optimization problems with multivariate stochastic order constraints
• Epi-convergent discretizations of stochastic programs via integration quadratures
• On the safe side of stochastic programming: bounds and approximations
• Two-stage stochastic lot-sizing problem under cost uncertainty
• Implementing bounds-based approximations in convex-concave two-stage stochastic programming
• scientific article; zbMATH DE number 1187207 (Why is no real title available?)
• Multi-period stochastic portfolio optimization: block-separable decomposition
• Cut sharing for multistage stochastic linear programs with interstage dependency
• Deviation measures in linear two-stage stochastic programming
• Two-Stage Stochastic Programming with Linearly Bi-parameterized Quadratic Recourse
• Two-stage combinatorial optimization problems under risk
• Distributionally Robust Two-Stage Stochastic Programming
• Management of non-maturing deposits by multistage stochastic programming
• Multistage stochastic programming: Error analysis for the convex case
• scientific article; zbMATH DE number 1389742 (Why is no real title available?)
• The approximation of separable stochastic programs
• Risk-averse two-stage stochastic programs in furniture plants
• Aggregation and discretization in multistage stochastic programming
• Approximation Algorithms for 2-Stage Stochastic Optimization Problems
• General properties of two-stage stochastic programming problems with probabilistic criteria
• Second-order scenario approximation and refinement in optimization under uncertainty
• Two‐stage stochastic integer programming: a survey
• Challenges in stochastic programming
• Two-stage stochastic programming problems involving interval discrete random variables
• scientific article; zbMATH DE number 495877 (Why is no real title available?)
• Convergent bounds for stochastic programs with expected value constraints
• Multistage quadratic stochastic programming
• Multiperiod portfolio optimization with terminal liability: bounds for the convex case
• Barycentric scenario trees in convex multistage stochastic programming
• Convergence properties of two-stage stochastic programming
• Continuous approximation schemes for stochastic programs
• Interactive fuzzy stochastic two-level linear programming with simple recourse

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