Solving discrete stochastic linear programs with simple recourse by the dualplex algorithm

DOI10.1016/0305-0548(94)90058-2zbMath0789.90058OpenAlexW1993995932MaRDI QIDQ1317085

Saul I. Gass, N. A. Bryson

Publication date: 24 March 1994

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0305-0548(94)90058-2

zbMATH Keywords

simple recourselarge-scale discrete versionstochastic linear-programming

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Related Items (1)

Bank asset and liability management under uncertainty

Uses Software

• XMP

Cites Work

• A solution comparison for dual angular linear programs
• Computational methods for solving two-stage stochastic linear programming problems
• The Allocation of Aircraft to Routes—An Example of Linear Programming Under Uncertain Demand
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• On the solution of special generalized upper-bounded problems: The LP/GUB knapsack problem and the λ-form separable convex objective function problem
• A set of staircase linear programming test problems
• The value of the stochastic solution in stochastic linear programs with fixed recourse
• A Stochastic Transportation Problem
• Programming under uncertainty: The complete problem
• Programming Under Uncertainty: The Equivalent Convex Program
• Two-Stage Programming under Uncertainty with Discrete Distribution Function
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