Abstract
The Stochastic Decomposition algorithms presented in previous chapters are designed to take computational advantage of the special structure of a two stage stochastic linear program with recourse. This structure resides in the large “core” of subproblem data that is common to all realizations of the random variable \(\tilde \omega \). To see this, recall that a two stage SLP may be stated as follows.
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References
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© 1996 Springer Science+Business Media Dordrecht
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Higle, J.L., Sen, S. (1996). Guidelines for Computer Implementation. In: Stochastic Decomposition. Nonconvex Optimization and Its Applications, vol 8. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-4115-8_6
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DOI: https://doi.org/10.1007/978-1-4615-4115-8_6
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