An alternating method for stochastic linear programming with simple recourse

Qi L (2009). An alternating method for stochastic linear programming with simple recourse. In: Stochastic Programming 84 Part I. Eds. Prekopa, A. & Wets, R., pp. 183-190 Springer. ISBN 978-3-642-00924-2 DOI:10.1007/BFb0121120.

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Abstract

Stochastic linear programming with simple recourse arises naturally in economic problems and other applications. One way to solve it is to discretize the distribution functions of the random demands. This will considerably increase the number of variables and will involved discretization errors. Instead of doing this, we describe a method which alternates between solving some n-dimensional linear subprograms and some m-dimensional convex subprograms, where n is the dimension of the decision vector and m is the dimension of the random demand vector. In many cases, m is relatively small. This method converges in finitely many steps.

Item Type: Book Section
Depositing User: Luke Kirwan
Date Deposited: 09 Aug 2016 14:14
Last Modified: 09 Aug 2016 14:14
URI: http://pure.iiasa.ac.at/13651

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