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A class of stochastic programs with decision dependent random elements

delete1998-01-01
delete148
PRE
AI
T
Tore Wiig Jonsbråten *
R
Roger J.‐B. Wets
D
David L. Woodruff
DOI:10.1023/A:1018943626786delete
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摘要

摘要

En 中文
In the standard formulation of a stochastic program with recourse, the distribution of the random parameters is independent of the decisions. When this is not the case, the problem is significantly more difficult to solve. This paper identifies;I class of problems that are manageable and proposes an algorithmic procedure for solving problems of this type. We give bounds and algorithms for the case where the distributions and the variables controlling information discovery are discrete. Computational experience is reported.
Keyword:
stochastic program with recourse
integer stochastic programming
modelling
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期刊

Annals of Operations Research 封面图
Annals of Operations Research
IF:
4.5
论文数:
8.1K
被引数:
2.1W

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