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Bounding separable recourse functions with limited distribution information

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Abstract

The recourse function in a stochastic program with recourse can be approximated by separable functions of the original random variables or linear transformations of them. The resulting bound then involves summing simple integrals. These integrals may themselves be difficult to compute or may require more information about the random variables than is available. In this paper, we show that a special class of functions has an easily computable bound that achieves the best upper bound when only first and second moment constraints are available.

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Authors and Affiliations

  1. Industrial and Operations Engineering, University of Michigan, 48109, Ann Arbor, MI, USA

    John R. Birge

  2. Operations Research Program, Southern Methodist University, 75275, Dallas, TX, USA

    José H. Dulá

Authors
  1. John R. Birge
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  2. José H. Dulá
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Additional information

This research has been partially supported by the National Science Foundation under Grants ECS-8304065 and ECS-8815101, by the Office of Naval Research Grant N00014-86-K-0628 and by the National Research Council under a Research Associateship at the Naval Postgraduate School, Monterey, California.

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Birge, J.R., Dulá, J.H. Bounding separable recourse functions with limited distribution information. Ann Oper Res 30, 277–298 (1991). https://doi.org/10.1007/BF02204821

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