Improving aggregation bounds for two-stage stochastic programs

DOI10.1016/S0167-6377(99)00019-XzbMath0955.90097MaRDI QIDQ1306461

Samer Takriti, Charles H. Rosa

Publication date: 4 March 2001

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

zbMATH Keywords

upper boundJensen's inequalitylower boundtwo-stage stochastic programsaggregation bounds

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (8)

Bounds in multi-horizon stochastic programs ⋮ A hierarchy of bounds for stochastic mixed-integer programs ⋮ Adaptive Partition-Based Level Decomposition Methods for Solving Two-Stage Stochastic Programs with Fixed Recourse ⋮ Constraint generation for risk averse two-stage stochastic programs ⋮ Monotonic bounds in multistage mixed-integer stochastic programming ⋮ Adaptive partition-based SDDP algorithms for multistage stochastic linear programming with fixed recourse ⋮ Two-stage stochastic standard quadratic optimization ⋮ An Adaptive Partition-Based Approach for Solving Two-Stage Stochastic Programs with Fixed Recourse

Uses Software

• MSLiP
• AMPL
• OSL

Cites Work

• A Modeling Language for Mathematical Programming
• MSLiP: A computer code for the multistage stochastic linear programming problem
• Sublinear upper bounds for stochastic programs with recourse
• Error bounds for the aggregated convex programming problem
• Aggregation bounds in stochastic linear programming
• Bounds on the Effect of Aggregating Variables in Linear Programs
• Bounds for Row-Aggregation in Linear Programming
• Successive Approximations of Linear Control Models
• Primal-Dual Aggregation and Disaggregation for Stochastic Linear Programs
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