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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
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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: | 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 |
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