Stochastic Two-Stage Programming

Descripción:

This monograph contributes to the stochastic programming methodology for two-stage models, in which the objective function is given as an integral, and the integrand depends on a random vector, its probability measure and a decision. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 236 pages, biography. BIC Classification: KCA; PBWL. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 242 x 170 x 13. Weight in Grams: 424. . 1992. Softcover reprint of the original 1st ed. 1992. Paperback. . . . . N° de ref. del artículo V9783540560975

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Sinopsis:

Reseña del editor: 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.