A Dual Solution Procedure for Quadratic Stochastic Programs with Simple Recourse

Rockafellar RT & Wets RJ-B (1983). A Dual Solution Procedure for Quadratic Stochastic Programs with Simple Recourse. IIASA Collaborative Paper. IIASA, Laxenburg, Austria: CP-83-017

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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: Monograph (IIASA Collaborative Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:54
Last Modified: 24 Jul 2016 11:50
URI: http://pure.iiasa.ac.at/2365

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