Bounding separable recourse functions with limited distribution information |
| |
Authors: | John R. Birge José H. Dulá |
| |
Affiliation: | (1) Industrial and Operations Engineering, University of Michigan, 48109 Ann Arbor, MI, USA;(2) Operations Research Program, Southern Methodist University, 75275 Dallas, TX, USA |
| |
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.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. |
| |
Keywords: | Integration stochastic programming moment problem duality approximation |
本文献已被 SpringerLink 等数据库收录! |
|