Designing Approximation Schemes for Stochastic Optimization Problems, in Particular for Stochastic Programs with Recourse

Birge JR & Wets RJ-B (1983). Designing Approximation Schemes for Stochastic Optimization Problems, in Particular for Stochastic Programs with Recourse. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-83-111

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Abstract

Various approximation schemes for stochastic optimization problems involving either approximates of the probability measures and/or approximates of the objective functional, are investigated. We discuss their potential implementation as part of general procedures for solving stochastic programs with recourse.

Item Type: Monograph (IIASA Working Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:52
Last Modified: 25 Jul 2016 22:47
URI: http://pure.iiasa.ac.at/2201

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