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A dual solution procedure for quadratic stochastic programs with simple recourse

Part of the Lecture Notes in Mathematics book series (LNM,volume 1005)

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.

Keywords

  • Dual Problem
  • Stochastic Program
  • Dual Variable
  • Lagrange Multiplier Vector
  • Finite Element Representation

These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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

  1. D. Walkup and R. Wets, Stochastic programs with recourse: special forms, in Proceeding of the Princeton Symposium on Mathematical Programming, ed. H. Kuhn, Princeton Univ. Press, Princeton, 1970.

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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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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-12334-7

  • Online ISBN: 978-3-540-40967-0

  • eBook Packages: Springer Book Archive