Approximate solution of stochastic programming problems with recourse

Riho Lepp

Kybernetika (1987)

  • Volume: 23, Issue: 6, page 476-482
  • ISSN: 0023-5954

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Lepp, Riho. "Approximate solution of stochastic programming problems with recourse." Kybernetika 23.6 (1987): 476-482. <http://eudml.org/doc/28718>.

@article{Lepp1987,
author = {Lepp, Riho},
journal = {Kybernetika},
keywords = {linear stochastic programming; complete recourse; Banach space; Riemann integrable functions; stability of approximations; sequence of finite- dimensional problems},
language = {eng},
number = {6},
pages = {476-482},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Approximate solution of stochastic programming problems with recourse},
url = {http://eudml.org/doc/28718},
volume = {23},
year = {1987},
}

TY - JOUR
AU - Lepp, Riho
TI - Approximate solution of stochastic programming problems with recourse
JO - Kybernetika
PY - 1987
PB - Institute of Information Theory and Automation AS CR
VL - 23
IS - 6
SP - 476
EP - 482
LA - eng
KW - linear stochastic programming; complete recourse; Banach space; Riemann integrable functions; stability of approximations; sequence of finite- dimensional problems
UR - http://eudml.org/doc/28718
ER -

References

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  1. J. R. Birge, R. J., B. Wets, Approximations and error bounds in stochastic programming, Inequalities in Statistics and Probability. IMS Lecture Notes-Monograph Series 5 (1984), 178-186. (1984) MR0789250
  2. N. Dunford, J. T. Schwartz, Linear Operators, Part I. General Theory. Interscience Publishers, New York 1958. (1958) Zbl0084.10402MR1009162
  3. J. Dupačová, Stability in stochastic programming with recourse-estimated parameters, Math. Programming 28 (1984), 1, 72-83. (1984) MR0727419
  4. P. Kail, Approximations to stochastic programs with complete fixed recourse, Numer. Math. 22 (1974), 4, 333-339. (1974) MR0363477
  5. P. Kail, Computational methods for solving two-stage stochastic linear programming problems, Z. Angew. Math. Phys. 30 (1979), 2, 261-271. (1979) MR0535985
  6. P. Kail, D. Stoyan, Solving stochastic programming problems with recourse including error bounds, Math. Operationsforsch. Statist. Ser. Optim. 13 (1982), 3, 431 - 447. (1982) MR0668803
  7. R. Lepp, Discrete approximation of linear two-stage stochastic programming problem, Numer. Funct. Anal. Optim. 9 (1987), 1/2, 19- 33. (1987) Zbl0587.90078MR0867841
  8. P. Olsen, Discretizations of multistage stochastic programming problems, Math. Programming Stud. 6 (1970), 111-124. (1970) MR0462589
  9. P. Olsen, [unknown], SIAM J. Control Optim. 14 (1976), 3, 528-537. (1976) MR0414092
  10. R. T. Rockafellar, R. J., B. Wets, Stochastic convex programming: Basic duality, Pacific. J. Math. 62(1976), 1, 173-195. (1976) Zbl0339.90048MR0416582
  11. F. Stummel, Discrete convergence of mappings, In: Topics in Numerical Analysis, Proc. Conf. Numer. Analysis, Dublin 1972. London 1973, 285-310. (1972) MR0347128
  12. G. Vainikko, Approximative methods for nonlinear equations, Nonlinear Anal. Theory, Methods and Appl. 2 (1978), 6, 647-687. (1978) Zbl0401.65034MR0512161
  13. G. Vainikko, On convergence of quadrature formulae method for integral equations with discontinuous kernels, Sibirsk. Mat. 1. 12 (1971), 1, 40-53. (1971) MR0286307

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