Results 211 to 220 of about 147,804 (264)

Bounds for Two-Stage Stochastic Programs with Fixed Recourse

Mathematics of Operations Research, 1994
This paper develops upper and lower bounds on two-stage stochastic linear programs using limited moment information. The case considered is when both the right-hand side as well as the objective coefficients of the second stage problem are random.
Edirisinghe, N. C. P., Ziemba, W. T.
exaly   +2 more sources

Limited recourse in two-stage stochastic linear programs

Journal of Information and Optimization Sciences, 2003
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 ...
Patrizia Beraldi, Chefi Triki, Stavros A Zenios   +2 more
exaly   +3 more sources

Formulating Two-Stage Stochastic Programs for Interior Point Methods

Operations Research, 1991
This paper describes an approach for modeling two-stage stochastic programs that yields a form suitable for interior point algorithms. A staircase constraint structure is created by replacing first stage variables with sparse “split variables” in conjunction with side-constraints. Dense columns are thereby eliminated.
Lustig, Irvin J., Mulvey, John M., Carpenter, Tamra J.   +2 more
exaly   +2 more sources

Distributionally Robust Two-Stage Stochastic Programming

SIAM Journal on Optimization, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Daniel Duque, Sanjay Mehrotra, David P. Morton   +2 more
openaire   +2 more sources

Two‐stage stochastic integer programming: a survey

Statistica Neerlandica, 1996
Stochastic integer programming is more complicated than stochastic linear programming, as will be explained for the case of the two‐stage stochastic programming model. A survey of the results accomplished in this recent field of research is given.
Schultz, R., Stougie, L., van der Vlerk, M.H.   +2 more
openaire   +3 more sources

Two-Stage Stochastic Variational Inequality Arising from Stochastic Programming

Journal of Optimization Theory and Applications, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Min Li, Chao Zhang
openaire   +2 more sources

Stability in Two-Stage Stochastic Programming

SIAM Journal on Control and Optimization, 1987
We analyze the effect of changes in problem functions and/or distributions in certain two-stage stochastic programming problems with recourse. Under reasonable assumptions the locally optimal value of the perturbed problem will be continuous and the corresponding set of local optimizers will be upper semicontinuous with respect to the parameters ...
Robinson, Stephen M., Wets, Roger J.-B.
openaire   +2 more sources