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Nazareth, J.L. & Wets, R.J.-B. (1983). Algorithms for Stochastic Programs: The Case for Nonstochastic Tenders. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-83-005
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Abstract
We consider solution strategies for stochastic programs whose deterministic equivalent programs take on one specific form. We suggest algorithms based upon (i) extensions of the revised simplex method, (ii) inner approximations (generalized programming techniques), (iii) outer approximations (min-max strategies). We briefly discuss implementation and associated software considerations.
| Item Type: | Monograph (IIASA Working Paper) |
|---|---|
| Research Programs: | System and Decision Sciences - Core (SDS) |
| Depositing User: | IIASA Import |
| Date Deposited: | 15 Jan 2016 01:53 |
| Last Modified: | 27 Aug 2021 17:11 |
| URI: | https://pure.iiasa.ac.at/2307 |
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