Restricted-Recourse Bounds for Stochastic Linear Programming
نویسندگان
چکیده
منابع مشابه
Restricted-Recourse Bounds for Stochastic Linear Programming
We consider the problem of bounding the expected value of a linear program (LP) containing random coe&cients, with applications to solving two-stage stochastic programs. An upper bound for minimizations is derived from a restriction of an equivalent, penalty-based formulation of the primal stochastic LP, and a lower bound is obtained from a restriction of a reformulation of the dual. Our “restr...
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ژورنال
عنوان ژورنال: Operations Research
سال: 1999
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.47.6.943