A dual solution procedure for quadratic stochastic programs with simple recourse

Rockafellar RT & Wets R (1983). A dual solution procedure for quadratic stochastic programs with simple recourse. In: Numerical Methods. pp. 252-265 Berlin/Heidelberg, Germany: Springer. ISBN 978-3-540-40967-0 DOI:10.1007/BFb0112539.

Full text not available from this repository.

Abstract

We exhibit a dual of a stochastic program with simple recourse — with random parameters in the technology matrix and the right-hand sides, and with quadratic recourse costs — that is essentially a deterministic quadratic program except for some simple stochastic upper bounds. We then describe a solution procedure for problems of this type based on a finite element representation of the dual variables.

Item Type: Book Section
Additional Information: Proceedings of the International Workshop Held at Caracas, June 14–18, 1982
Research Programs: Resources and Environment Area (REN)
Depositing User: Romeo Molina
Date Deposited: 25 Feb 2016 13:25
Last Modified: 25 Feb 2016 15:59
URI: http://pure.iiasa.ac.at/12059

Actions (login required)

View Item View Item

International Institute for Applied Systems Analysis (IIASA)
Schlossplatz 1, A-2361 Laxenburg, Austria
Phone: (+43 2236) 807 0 Fax:(+43 2236) 71 313