There will always be stochastic programs that are too large or complex to be solved in their basic form. In thisarticle, we review, discuss, and compare different ways such stochastic programs can be handled using boundsand approximations, all based on manipulations of the random variables. We are particularly interested inhow methods based on different underlying ideas can be combined or possibly are the same.
(2023). On the safe side of stochastic programming: bounds and approximations [journal article - articolo]. In INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH. Retrieved from https://hdl.handle.net/10446/244372
On the safe side of stochastic programming: bounds and approximations
Maggioni, Francesca;
2023-01-01
Abstract
There will always be stochastic programs that are too large or complex to be solved in their basic form. In thisarticle, we review, discuss, and compare different ways such stochastic programs can be handled using boundsand approximations, all based on manipulations of the random variables. We are particularly interested inhow methods based on different underlying ideas can be combined or possibly are the same.File allegato/i alla scheda:
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Int Trans Operational Res - 2023 - Narum - On the safe side of stochastic programming bounds and approximations.pdf
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