2-stage stochastic linear programming
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چکیده
We consider the other direction: the 2-stage stochastic programming problem (or also called stochastic recourse problem). Conceptually one should think of the decision process taking place in two stages. In the first, values for the first stage variables x are chosen. In the second, upon a realisation of the random parameters, a recourse action is to be taken in case of infeasibilities. Costs are attached to the various possible recourse actions leading to the second stage (or recourse) problem, to choose the optimal action given the infeasibilities. The expected cost of the optimal recourse action is then added to the objective function. For a comprehensive review of the extensive literature we refer to
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