eprintid: 13651
rev_number: 7
eprint_status: archive
userid: 353
dir: disk0/00/01/36/51
datestamp: 2016-08-09 14:14:30
lastmod: 2021-08-27 17:41:30
status_changed: 2016-08-09 14:14:30
type: book_section
metadata_visibility: show
item_issues_count: 1
creators_name: Qi, L.
creators_id: AL1124
title: An alternating method for stochastic linear programming with simple recourse
ispublished: pub
abstract: Stochastic linear programming with simple recourse arises naturally in economic problems and other applications. One way to solve it is to discretize the distribution functions of the random demands. This will considerably increase the number of variables and will involved discretization errors. Instead of doing this, we describe a method which alternates between solving some n-dimensional linear subprograms and some m-dimensional convex subprograms, where n is the dimension of the decision vector and m is the dimension of the random demand vector. In many cases, m is relatively small. This method converges in finitely many steps.
date: 2009
date_type: published
publisher: Springer
id_number: doi:10.1007/BFb0121120
creators_browse_id: 2310
creators_browse_id: 2512
full_text_status: none
series: Mathematical Programming Study
volume: 27
pagerange: 183-190
refereed: TRUE
isbn: 978-3-642-00924-2
issn: 0303-3929
book_title: Stochastic Programming 84 Part I
editors_name: Prekopa, A.
editors_name: Wets, R.
editors_id: AL1370
coversheets_dirty: FALSE
fp7_project: no
fp7_type: info:eu-repo/semantics/bookPart
citation:   Qi, L. <https://pure.iiasa.ac.at/view/iiasa/2310.html>  (2009).  An alternating method for stochastic linear programming with simple recourse.    In:  Stochastic Programming 84 Part I. Eds. Prekopa, A. & Wets, R. <https://pure.iiasa.ac.at/view/iiasa/2512.html>, pp. 183-190 Springer.  ISBN 978-3-642-00924-2 10.1007/BFb0121120 <https://doi.org/10.1007/BFb0121120>.