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Detalles bibliogr�ficos

T�tulo: Stochastic Two-Stage Programming (Lecture Notes in Economics and Mathematical Systems 392)
Editor: Springer
Fecha de publicaci�n: 1992
Idioma: Ingl�s
ISBN 10: 3540560971
ISBN 13: 9783540560975
Encuadernaci�n: Encuadernaci�n de tapa blanda
Estado: Good

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Sinopsis

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.

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