Implementing bounds-based approximations in convex-concave two-stage stochastic programming

DOI10.1007/BF02592157zbMath0874.90143MaRDI QIDQ1363431

William T. Ziemba, N. Chanaka P. Edirisinghe

Publication date: 7 August 1997

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

zbMATH Keywords

numerical experiments\(L\)-shaped decompositionbounds on expectation of saddle functionsbounds-based approximationspartitioning strategies for rectanglessuccessive scenario clusterstwo-stage stochastic programs with fixed recourse

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (3)

Second-order scenario approximation and refinement in optimization under uncertainty ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ On a conservative partition refinement (CPR) method for a class of two-stage stochastic programming problems

Cites Work

• Stochastic two-stage programming
• Second-order scenario approximation and refinement in optimization under uncertainty
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
• Bounds for Two-Stage Stochastic Programs with Fixed Recourse
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
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