Sublinear upper bounds for stochastic programs with recourse
dc.contributor.author | Wets, Roger J. -B. | en_US |
dc.contributor.author | Birge, John R. | en_US |
dc.date.accessioned | 2006-09-11T19:33:02Z | |
dc.date.available | 2006-09-11T19:33:02Z | |
dc.date.issued | 1989-01 | en_US |
dc.identifier.citation | Birge, John R.; Wets, Roger J. -B.; (1989). "Sublinear upper bounds for stochastic programs with recourse." Mathematical Programming 43 (1-3): 131-149. <http://hdl.handle.net/2027.42/47918> | en_US |
dc.identifier.issn | 0025-5610 | en_US |
dc.identifier.issn | 1436-4646 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/47918 | |
dc.description.abstract | Separable sublinear functions are used to provide upper bounds on the recourse function of a stochastic program. The resulting problem's objective involves the inf-convolution of convex functions. A dual of this problem is formulated to obtain an implementable procedure to calculate the bound. Function evaluations for the resulting convex program only require a small number of single integrations in contrast with previous upper bounds that require a number of function evaluations that grows exponentially in the number of random variables. The sublinear bound can often be used when other suggested upper bounds are intractable. Computational results indicate that the sublinear approximation provides good, efficient bounds on the stochastic program objective value. | en_US |
dc.format.extent | 897636 bytes | |
dc.format.extent | 3115 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | en_US | |
dc.publisher | Springer-Verlag; The Mathematical Programming Society, Inc. | en_US |
dc.subject.other | Mathematics | en_US |
dc.subject.other | Mathematics of Computing | en_US |
dc.subject.other | Optimization | en_US |
dc.subject.other | Calculus of Variations and Optimal Control | en_US |
dc.subject.other | Combinatorics | en_US |
dc.subject.other | Numerical Analysis | en_US |
dc.subject.other | Operation Research/Decision Theory | en_US |
dc.subject.other | Sublinear Function | en_US |
dc.subject.other | Simple Recourse Problem | en_US |
dc.subject.other | Numerical and Computational Methods | en_US |
dc.subject.other | Mathematical Methods in Physics | en_US |
dc.subject.other | Stochastic Programming | en_US |
dc.subject.other | Mathematical and Computational Physics | en_US |
dc.subject.other | Duality | en_US |
dc.subject.other | Recourse Model | en_US |
dc.subject.other | Approximation | en_US |
dc.title | Sublinear upper bounds for stochastic programs with recourse | en_US |
dc.type | Article | en_US |
dc.subject.hlbsecondlevel | Mathematics | en_US |
dc.subject.hlbtoplevel | Science | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | Department of Industrial and Operations Engineering, University of Michigan, 48109, Ann Arbor, MI, USA | en_US |
dc.contributor.affiliationother | Department of Mathematics, University of California, 95616, Davis, CA, USA | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/47918/1/10107_2005_Article_BF01582286.pdf | en_US |
dc.identifier.doi | http://dx.doi.org/10.1007/BF01582286 | en_US |
dc.identifier.source | Mathematical Programming | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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