| 来源类型 | Book Section
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| DOI | 10.1007/BFb0121120
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| An alternating method for stochastic linear programming with simple recourse. |
| Qi L; Prekopa, A.; Wets, R.
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| 发表日期 | 2009
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| 出处 | Stochastic Programming 84 Part I. Eds. Prekopa, A. & Wets, R. , pp. 183-190 Springer. ISBN 978-3-642-00924-2 DOI: 10.1007/BFb0121120 .
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| 出版年 | 2009
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| 语种 | 英语
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| 摘要 | Stochastic linear programming with simple recourse arises naturally in economic problems and other applications. One way to solve it is to discretize the distribution functions of the random demands. This will considerably increase the number of variables and will involved discretization errors. Instead of doing this, we describe a method which alternates between solving some n-dimensional linear subprograms and some m-dimensional convex subprograms, where n is the dimension of the decision vector and m is the dimension of the random demand vector. In many cases, m is relatively small. This method converges in finitely many steps. |
| URL | http://pure.iiasa.ac.at/id/eprint/13651/
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| 来源智库 | International Institute for Applied Systems Analysis (Austria)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/134038
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推荐引用方式
GB/T 7714 |
Qi L,Prekopa, A.,Wets, R.. An alternating method for stochastic linear programming with simple recourse.. 2009.
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