Robust two-stage stochastic linear programs with moment constraints

Parallel algorithms to solve two-stage stochastic linear programs with robustness constraints

In this paper we present a parallel method for solving two-stage stochastic linear programs with restricted recourse. The mathematical model considered here can be used to represent several real-world applications, including ®nancial and production planning problems, for which signi®cant changes in the recourse solutions should be avoided because of their diculty to be implemented. Our paralle...

Two-stage stochastic linear programs with incomplete information on uncertainty

Limited Recourse in Two-Stage Stochastic Linear Programs

Abstract In several real-world applications, modelled by two-stage stochastic problems, first and second-stage decisions (or some of their components) represent identical variables of the problem that is modelled. In these cases an appropriate solution of the problem might require that the second-stage decisions do not differ substantially from the corresponding first-stage ones. In this paper ...

Smooth minimization of two-stage stochastic linear programs

This note presents an application of the smooth optimization technique of Nesterov [7] for solving two-stage stochastic linear programs. It is shown that the original O( 1 ) bound of [7] on the number of main iterations required to obtain an -optimal solution is retained.

Two-Stage Stochastic Programs with Mixed Probabilities

We extend the traditional two-stage linear stochastic program by probabilistic constraints imposed in the second stage. This adds nonlinearity such that basic arguments for analyzing the structure of linear two-stage stochastic programs have to be rethought from the very beginning. We identify assumptions under which the problem is structurally sound and behaves stable under perturbations of pr...