A Separable Piecewise Linear Upper Bound for Stochastic Linear Programs

DOI10.1137/0326042zbMath0646.90064OpenAlexW2032125776MaRDI QIDQ3790947

Stein W. Wallace, John R. Birge

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1137/0326042

zbMATH Keywords

linear stochastic programmingpiecewise linear upper bound approximation

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Stochastic programming (90C15)

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