Discrete approximation of linear two–stage stochastic programming problem
作者:
R. Lepp,
期刊:
Numerical Functional Analysis and Optimization
(Taylor Available online 1987)
卷期:
Volume 9,
issue 1-2
页码: 19-33
ISSN:0163-0563
年代: 1987
DOI:10.1080/01630568708816224
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
This paper describes a possibility for approximate solution of stochastic programming problems with complete recourse. We replace the static form of linear problem in Lp-space by a sequence of discretized problems in finite-dimensional spaces. We present conditions that guarantee the convergence of optimal values of discretized problems to the optimal value of the initial problem.
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