Solving stochastic programss with simple recourse
作者:
Roger J.-B. Wets,
期刊:
Stochastics
(Taylor Available online 1983)
卷期:
Volume 10,
issue 3-4
页码: 219-242
ISSN:0090-9491
年代: 1983
DOI:10.1080/17442508308833274
出版商: Gordon and Breach Science Publishers Inc,
数据来源: Taylor
摘要:
In this paper we describe an algorithm for solving stochastic programs with simplerecourse, i.e.,generated by a linear programming problem with stochastic coefficients and a specific loss function (piecewise linear) associated with discrepancies observed between the output (Tx) and the resource vector. We show that this class of problems can actually be solved with about the same efficiency as solving linear programs of the same size. We first give a method for the discrete case and then indicate how recent approximation results can be used to obtain solutions whenthe random variables have a continuous distribution.
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