Abstract
We exhibit a dual of a stochastic program with simple recourse — with random parameters in the technoloty matrix and the right-hand sides, and with quadratic recourse costs — that is essentially a deterministic quadratic program except for some simple stochastic upper bounds. We then describe a solution procedure for problems of this type based on a finite element representation of the dual variables.
Supported by the Air Force Office of Scientific Research under grant F49620-82-K-0012
Supported in part by a Guggenheim Fellowship
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References
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© 1983 Springer-Verlag
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Rockafellar, R.T., Wets, R.JB. (1983). A dual solution procedure for quadratic stochastic programs with simple recourse. In: Numerical Methods. Lecture Notes in Mathematics, vol 1005. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0112539
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DOI: https://doi.org/10.1007/BFb0112539
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