Refining bounds for stochastic linear programs with linearly transformed independent random variables

DOI10.1016/0167-6377(86)90106-9zbMath0596.90073OpenAlexW2073310427MaRDI QIDQ1079127

John R. Birge, Stein W. Wallace

Publication date: 1986

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/2027.42/26111

zbMATH Keywords

approximationstwo-stage stochastic programmingadaptive discretizationbounds on the recourse problemdependent right-hand side

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Stochastic programming (90C15)

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Restricted recourse strategies for bounding the expected network recourse function, A piecewise linear upper bound on the network recourse function, Bounding multi-stage stochastic programs from above, Applying the progressive hedging algorithm to stochastic generalized networks

Cites Work

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