A Dual Solution Procedure for Quadratic Stochastic Programs with Simple Recourse

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

[thumbnail of CP-83-017.pdf]
Preview
Text
CP-83-017.pdf

Download (413kB) | Preview

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: 27 Aug 2021 17:11
URI: https://pure.iiasa.ac.at/2365

Actions (login required)

View Item View Item