Stochastic Two-Stage Programming (Lecture Notes in Economics and Mathematical Systems)

Karl Frauendorfer

ISBN 10: 3540560971 / ISBN 13: 9783540560975

Published by Springer 1992-12-08, 1992

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Seller Inventory # 6666-IUK-9783540560975

Bibliographic Details

Title: Stochastic Two-Stage Programming (Lecture ...

Publisher: Springer 1992-12-08

Publication Date: 1992

Binding: Paperback

Condition: New

About this title

Synopsis:

Stochastic Programming offers models and methods for decision problems wheresome of the data are uncertain. These models have features and structural properties which are preferably exploited by SP methods within the solution process. This work contributes to the methodology for two-stagemodels. In these models the objective function is given as an integral, whose integrand depends on a random vector, on its probability measure and on a decision. The main results of this work have been derived with the intention to ease these difficulties: After investigating duality relations for convex optimization problems with supply/demand and prices being treated as parameters, a stability criterion is stated and proves subdifferentiability of the value function. This criterion is employed for proving the existence of bilinear functions, which minorize/majorize the integrand. Additionally, these minorants/majorants support the integrand on generalized barycenters of simplicial faces of specially shaped polytopes and amount to an approach which is denoted barycentric approximation scheme.