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Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse

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Stochastic Programming 84 Part I

Part of the book series: Mathematical Programming Studies ((MATHPROGRAMM,volume 27))

Abstract

Various approximation schemes for stochastic optimization problems involving either approximates of the probability measures and/or approximates of the objective functional, are investigated. We discuss their potential implementation as part of general procedures for solving stochastic programs with recourse.

Supported in part by grants of the National Science Foundation.

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Author information

Authors and Affiliations

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

    John R. Birge

  2. Department of Mathematics, University of Kentucky, Lexington, KY, USA

    Roger J.-B. Wets

Authors
  1. John R. Birge
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  2. Roger J.-B. Wets
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Andras Prékopa Roger J.- B. Wets

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© 1986 The Mathematical Programming Society, Inc.

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Birge, J.R., Wets, R.JB. (1986). Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse. In: Prékopa, A., Wets, R.J.B. (eds) Stochastic Programming 84 Part I. Mathematical Programming Studies, vol 27. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0121114

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  • DOI: https://doi.org/10.1007/BFb0121114

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-00924-2

  • Online ISBN: 978-3-642-00925-9

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