Subgradient decomposition and differentiability of the recourse function of a two stage stochastic linear program
- 1 April 1993
- journal article
- Published by Elsevier in Operations Research Letters
- Vol. 13 (3) , 143-148
- https://doi.org/10.1016/0167-6377(93)90003-y
Abstract
No abstract availableKeywords
This publication has 7 references indexed in Scilit:
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with RecourseMathematics of Operations Research, 1991
- Solving stochastic programs with simple recourseStochastics, 1983
- On the interchange of subdifferentiation and conditional expectation for convex functionalsStochastics, 1982
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic ProgrammingSIAM Journal on Applied Mathematics, 1969
- Lifting projections of convex polyhedraPacific Journal of Mathematics, 1969
- On Minimizing a Convex Function Subject to Linear InequalitiesJournal of the Royal Statistical Society Series B: Statistical Methodology, 1955
- Linear Programming under UncertaintyManagement Science, 1955