Algorithms for Stochastic Programs: The Case of Nonstochastic Tenders

Nazareth J & Wets R (1986). Algorithms for Stochastic Programs: The Case of Nonstochastic Tenders. In: Stochastic Programming 84 Part II. Eds. Prekopa, A. & Wets, R., pp. 1-28 Springer. ISBN 978-3-642-00924-2 DOI:10.1007/BFb0121123.

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Abstract

We consider solution strategies for stochastic programs whose deterministic equivalent programs take on the form: Find x an element of R**n, chi an element of R**m such that x greater than equivalent to 0, Ax equals b, Tx equals chi and z equals cx plus PSI ( chi ) is minimized. We suggest algorithms based upon (i) extensions of the revised simplex method, (ii) inner approximations (generalized programming techniques), (iii) outer approximations (minmax) strategies.

Item Type: Book Section
Depositing User: Luke Kirwan
Date Deposited: 09 Aug 2016 14:57
Last Modified: 09 Aug 2016 14:57
URI: http://pure.iiasa.ac.at/13652

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