Bounds for Stochastic Programs in Particular for Recourse Problems

Dupacova J (1995). Bounds for Stochastic Programs in Particular for Recourse Problems. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-95-085

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Abstract

In this paper, we shall discuss the bounds for the optimal value of recourse problems from the point of view of assumptions and of possible generalizations. We shall concentrate on bounds based on the first order moment conditions and to those based on sample information. We shall indicate when it is possible to remove the convexity assumptions, when there is a hope for extensions to multistage problems and we shall point out reflections of bounds and stability results.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Optimization under Uncertainty (OPT)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:06
Last Modified: 21 Jul 2016 00:43
URI: http://pure.iiasa.ac.at/4511

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