Stochastic programs with recourse: An upper bound and the related moment problem

DOI10.1007/BF01259340zbMath0624.90075OpenAlexW2007703755MaRDI QIDQ3026757

Peter Kall

Publication date: 1987

Published in: [https://portal.mardi4nfdi.de/entity/Q3026756 Zeitschrift f�r Operations Research] (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01259340

zbMATH Keywords

upper boundsapproximation schemesincomplete informationmoment problemsstochastic programs with recourse

Mathematics Subject Classification ID

Stochastic programming (90C15) Distribution theory (60E99)

Related Items (6)

Challenges in stochastic programming ⋮ Multilinear approximation on rectangles and the related moment problem ⋮ On the safe side of stochastic programming: bounds and approximations ⋮ A numerical method for solving stochastic programming problems with moment constraints on a distribution function ⋮ An upper bound for SLP using first and total second moments ⋮ An upper bound on the expectation of simplicial functions of multivariate random variables

Cites Work

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• Bounds on the value of information in uncertain decision problems II
• A tight upper bound for the expectation of a convex function of a multivariate random variable
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• Solving stochastic programming problems with recourse including error bounds
• Extreme Points of Certain Sets of Probability Measures, with Applications

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