Algorithms for Stochastic Programs: The Case for Nonstochastic Tenders

Nazareth JL & Wets RJ-B (1983). Algorithms for Stochastic Programs: The Case for Nonstochastic Tenders. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-83-005

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Abstract

We consider solution strategies for stochastic programs whose deterministic equivalent programs take on one specific form. We suggest algorithms based upon (i) extensions of the revised simplex method, (ii) inner approximations (generalized programming techniques), (iii) outer approximations (min-max strategies). We briefly discuss implementation and associated software considerations.

Item Type: Monograph (IIASA Working Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:53
Last Modified: 19 Jul 2016 07:58
URI: http://pure.iiasa.ac.at/2307

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