Results 221 to 230 of about 22,233,048 (267)
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Bounds for Two-Stage Stochastic Programs with Fixed Recourse
Mathematics of Operations Research, 1994This 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.
N C P Edirisinghe
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Formulating Two-Stage Stochastic Programs for Interior Point Methods
Operations Research, 1991This 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.
John Mulvey, Irvin Lustig
exaly +2 more sources
Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
Mathematics of Operations Research, 1991We present a cutting plane algorithm for two-stage stochastic linear programs with recourse. Motivated by Benders' decomposition, our method uses randomly generated observations of random variables to construct statistical estimates of supports of the objective function.
Suvrajeet Sen, Julia L Higle
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Distributionally Robust Two-Stage Stochastic Programming
SIAM Journal on Optimization, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Daniel Duque +2 more
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Two‐stage stochastic integer programming: a survey
Statistica Neerlandica, 1996Stochastic 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. +2 more
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Stability in Two-Stage Stochastic Programming
SIAM Journal on Control and Optimization, 1987We 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.
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Two-Stage Stochastic Programs with Mixed Probabilities
SIAM Journal on Optimization, 2007Summary: 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.
Bosch, Paul +2 more
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Convergence Properties of Two-Stage Stochastic Programming
Journal of Optimization Theory and Applications, 2000The aim of the authors is to investigate a convergence rate of empirical estimates in the case of stochastic programming problems with mathematical expectation in the objective function and a ``deterministic'' constraint set. Of course, two-stage stochastic programming problems belong to this type of the problems. First, they recall a (rather complete)
Dai, L., Chen, C. H., Birge, J. R.
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Two-Stage Stochastic Variational Inequality Arising from Stochastic Programming
Journal of Optimization Theory and Applications, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Min Li, Chao Zhang 0056
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Sequential Bounding Methods for Two-Stage Stochastic Programs
INFORMS Journal on Computing, 2016In rare situations, stochastic programs can be solved analytically. Otherwise, approximation is necessary to solve stochastic programs with a large or infinite number of scenarios to a desired level of accuracy. This involves statistical sampling or deterministic selection of a finite set of scenarios to obtain a tractable deterministic equivalent ...
Alexander H. Gose, Brian T. Denton
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