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A dual strategy for the implementation of the aggregation principle in decision making under uncertainty |
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| Authors: | R T Rockafellar Roger J-B Wets |
| Abstract: | A solution method for stochastic programs is proposed based on the aggregation principle, which allows one to find the solution of a stochastic program by aggregating the solutions of individual deterministic scenario problems. The method concentrates on finding good estimates of the dual variables associated with the non-anticipativity constraints. |
| Keywords: | Decomposition Stochastic programming Aggregation principle Approximations |