Tight Bounds for Stochastic Convex Programs

DOI10.1287/OPRE.40.4.660MaRDI QIDQ4022924zbMATH OpenOpenAlexFDO

Authors William T. Ziemba, N. Chanaka P. Edirisinghe

Publication date 17 January 1993

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.40.4.660

zbMATH Keywords

two-stage stochastic convex program

Mathematics Subject Classification ID

Stochastic programming (90C15) Convex programming (90C25)

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• An adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse
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• Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
• Dual dominance: how Harry Markowitz and William Ziemba impacted portfolio management
• Restricted Bayes strategies for convex stochastic programs

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