Approximations to Stochastic Programs with Complete Recourse

DOI10.1137/0328020zbMath0692.49020OpenAlexW1993165066MaRDI QIDQ3034442

R.Lepp

Publication date: 1990

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0328020

zbMATH Keywords

discrete approximationrelatively complete recoursetwo-stage stochastic convex program

Mathematics Subject Classification ID

Convex programming (90C25) Stochastic programming (90C15) Numerical methods based on nonlinear programming (49M37) Optimality conditions for problems involving randomness (49K45)

Related Items (6)

Projection and discretization methods in stochastic programming ⋮ Challenges in stochastic programming ⋮ Epi-convergent discretizations of multistage stochastic programs via integration quadratures ⋮ Approximation-exact penalty function method for solving a class of stochastic programming ⋮ Epi-convergent discretizations of stochastic programs via integration quadratures ⋮ On a Class of Random Variational Inequalities on Random Sets

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