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Method of random walk for the two-stage problem of stochastic programming and its generalization

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References

  1. G. Dantzig, Linear Programming. Applications and Generalizations [in Russian], Progress Press, Moscow, 1966.

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  2. Yu. M. Ermol'ev, “Methods of solution of linear extermal problems” [in Russian], Kibernetika, no. 4, Kiev, 1966.

  3. N. Z. Shor and M. B. Shchepakin, “Algorithm for the solution of the two-stage problem of stochastic programming” [in Russian] (in press).

  4. J. L. Doob, Stochastic Processes, Wiley, 1952.

  5. Yu. M. Ermol'ev and Z. V. Nekrylova, “Methods of stochastic optimization” [in Russian], Kibernetika, no. 6, Kiev, 1966.

  6. Yu. M. Ermol'ev and Z. V. Nekrylova, “The method of stochastic gradients and its generalization” [in Russian], collection: Theory of Optimal Solutions (in press).

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Authors
  1. Yu. M. Ermol'ev
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  2. N. Z. Shor
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Additional information

Kibernetika, Vol. 4, No. 1, pp. 90–92, 1968

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Ermol'ev, Y.M., Shor, N.Z. Method of random walk for the two-stage problem of stochastic programming and its generalization. Cybern Syst Anal 4, 59–60 (1968). https://doi.org/10.1007/BF01074757

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  • DOI: https://doi.org/10.1007/BF01074757

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