Solving stochastic programming problems with recourse including error bounds
- 1 January 1982
- journal article
- research article
- Published by Taylor & Francis in Mathematische Operationsforschung und Statistik. Series Optimization
- Vol. 13 (3) , 431-447
- https://doi.org/10.1080/02331938208842805
Abstract
Under suitable convexity and integrability assumptions, for the stochastic programming problem with recourse statements are proved very easily, which have been shown until now only for stochastic linear programming. In particular, this includes lower bounds for approximations using discrete random vectors. Until now unpublished, even for the linear ease, are error bounds, which are proved here under different assumptions. Computational experiences are reported. Finally, some improvements are suggested which may reduce the computation time.Keywords
This publication has 9 references indexed in Scilit:
- Computational methods for solving two-stage stochastic linear programming problemsZeitschrift für angewandte Mathematik und Physik, 1979
- Qualitative Eigenschaften und Abschätzungen stochastischer ModellePublished by Walter de Gruyter GmbH ,1977
- Stochastic Linear ProgrammingPublished by Springer Nature ,1976
- Approximations to stochastic programs with complete fixed recourseNumerische Mathematik, 1974
- Stochastic Programs with RecourseSIAM Journal on Applied Mathematics, 1967
- Qualitative Aussagen zu einigen Problemen der stochastischen ProgrammierungProbability Theory and Related Fields, 1966
- Programming under uncertainty: The complete problemProbability Theory and Related Fields, 1966
- Inequalities for Stochastic Nonlinear Programming ProblemsOperations Research, 1964
- Inequalities for Stochastic Linear Programming ProblemsManagement Science, 1960