Scenario-based stochastic programs: Resistance with respect to sample

被引：30

作者：

Dupacova, J ^{[1
]}

机构：

[1] CHARLES UNIV,FAC MATH & PHYS,CR-18600 PRAGUE 8,CZECH REPUBLIC

来源：

ANNALS OF OPERATIONS RESEARCH | 1996年 / 64卷

关键词：

contamination technique; SLP with random recourse; robust optimization; expected value problems; post-optimality; sensitivity analysis; worst-case analysis;

D O I：

10.1007/BF02187639

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

A contamination technique is presented as a numerically tractable tool to post-optimization and analysis of robustness of the optimal value of scenario-based stochastic programs and of the expected value problems. Detailed applications of the method concern the two-stage stochastic linear programs with random recourse and the corresponding robust optimization problems.

引用

页码：21 / 38

页数：18

共 23 条

[1] THE VALUE OF THE STOCHASTIC SOLUTION IN STOCHASTIC LINEAR-PROGRAMS WITH FIXED RECOURSE
BIRGE, JR
[J]. MATHEMATICAL PROGRAMMING, 1982, 24 (03) : 314 - 325
[2] BUHLER W, 1981, CAPITAL BUDGETING CO, P81
[3] Dembo R. S., 1991, ANN OPER RES, V30, P63, DOI DOI 10.1007/BF02204809
[4] DUPACOVA J, 1986, MATH PROGRAM STUD, V27, P133, DOI 10.1007/BFb0121117
[5] Dupacova J., 1990, Annals of Operations Research, V27, P115, DOI 10.1007/BF02055193
[6] POSTOPTIMALITY FOR MULTISTAGE STOCHASTIC LINEAR-PROGRAMS
DUPACOVA, J
[J]. ANNALS OF OPERATIONS RESEARCH, 1995, 56 : 65 - 78
[7] DUPACOVA J, 1994, MIN STOCH PROGR BERL
[8] STOCHASTIC QUASIGRADIENT METHODS AND THEIR APPLICATION TO SYSTEM OPTIMIZATION.
Ermoliev, Yuri
[J]. Stochastics, 1983, 9 (1-2): : 1 - 36
[9] GOLSHTEIN EG, 1972, T MATH MONOGRAPHS, V36
[10] GOLUB B, 1992, IN PRESS EUR J OP RE

← 1 2 3 →