A dual solution procedure for quadratic stochastic programs with simple recourse

Rockafellar, R.T. & Wets, R. (1983). A dual solution procedure for quadratic stochastic programs with simple recourse. In: Numerical Methods. pp. 252-265 Berlin/Heidelberg, Germany: Springer. ISBN 978-3-540-40967-0 10.1007/BFb0112539.

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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:	Book Section
Additional Information:	Proceedings of the International Workshop Held at Caracas, June 14–18, 1982
Research Programs:	Resources and Environment Area (REN)
Depositing User:	Romeo Molina
Date Deposited:	25 Feb 2016 13:25
Last Modified:	27 Aug 2021 17:25
URI:	https://pure.iiasa.ac.at/12059

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