Lecture Notes in Economics and Mathematical Systems

Stochastic Two-Stage Programming

Authors: Frauendorfer, Karl

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About this book

Stochastic Programming offers models and methods for decision problems wheresome of the data are uncertain. These models have features and structural properties which are preferably exploited by SP methods within the solution process. This work contributes to the methodology for two-stagemodels. In these models the objective function is given as an integral, whose integrand depends on a random vector, on its probability measure and on a decision. The main results of this work have been derived with the intention to ease these difficulties: After investigating duality relations for convex optimization problems with supply/demand and prices being treated as parameters, a stability criterion is stated and proves subdifferentiability of the value function. This criterion is employed for proving the existence of bilinear functions, which minorize/majorize the integrand. Additionally, these minorants/majorants support the integrand on generalized barycenters of simplicial faces of specially shaped polytopes and amount to an approach which is denoted barycentric approximation scheme.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $89.00
price for USA in USD
  • ISBN 978-3-642-95696-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • Immediate eBook download after purchase and usable on all devices
  • Bulk discounts available
Softcover $119.99
price for USA in USD
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Two-Stage Programming
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
392
Copyright
1992
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-95696-6
DOI
10.1007/978-3-642-95696-6
Softcover ISBN
978-3-540-56097-5
Series ISSN
0075-8442
Edition Number
1
Number of Pages
VIII, 228
Topics