A Gaussian upper bound for Gaussian multi-stage stochastic linear programs

zbMath0891.90131MaRDI QIDQ1373757

Eithan Schweitzer, Mordecai Avriel

Publication date: 25 November 1997

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

zbMATH Keywords

semidefinite programmingGaussian random variablesmulti-stage stochastic programsGaussian right-hand sides

Mathematics Subject Classification ID

Stochastic programming (90C15)

Uses Software

• MSLiP

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