Sublinear upper bounds for stochastic programs with recourse
type: Item
instance of: scholarly article
title: Sublinear upper bounds for stochastic programs with recourse
zbMATH Open document ID: 0663.90063
DOI: 10.1007/BF01582286
author: John R. Birge
author: Roger J.-B. Wets
published in: Mathematical Programming. Series A. Series B
publication date: 1989-01-01T00:00:00Z
review text: Consider the stochastic linear program with recourse: find \(x\in R^ n\), \(\chi \in R^ m\) such that \(Ax=b\), \(Tx-\chi =0\), \(x\geq 0\) and \(cx+E\psi (\chi,\xi)\) is minimized where \[ \psi (\chi,\xi)=\inf_{y\geq 0}\{qy| \quad Wy=\xi -\chi \}. \] Let \(e_ i\) be the i-th unit m- vector. Then solutions of linear programs \(\min_{y\geq 0}\{qy|\) \(Wy=e_ i\}\) give us an approximation of the initial problem by simple recourse vectors. In this paper, using other bases then \(\pm e_ i\), the sublinear (positively homogeneous and convex) approximations of \(\psi\) are presented (for example, let \(D=\{d_ 1\),..., \(d_ m\}\) be a linear basis such that pos[D, \(-D]=R^ m)\). Such linear transformations of random vectors can be used to obtain a variety of separable, sublinear bounding functions. These sublinear approximations are solved using their duals. Computational results are presented.
reviewed by: Riho Lepp
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 65K05
zbMATH DE Number: 4085418
zbMATH Keywords: duality
zbMATH Keywords: stochastic linear program with recourse
zbMATH Keywords: sublinear approximations
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf01582286
OpenAlex ID: W2033793554
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description: scientific article; zbMATH DE number 4085418