AGGREGATION BOUNDS IN STOCHASTIC LINEAR-PROGRAMMING

被引：58

作者：

BIRGE, JR

机构：

[1] Univ of Michigan, Dep of Industrial, & Operations Engineering, Ann, Arbor, MI, USA, Univ of Michigan, Dep of Industrial & Operations Engineering, Ann Arbor, MI, USA

来源：

MATHEMATICAL PROGRAMMING | 1985年 / 31卷 / 01期

关键词：

DECISION THEORY AND ANALYSIS;

D O I：

10.1007/BF02591859

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

Stochastic linear programs for dynamic decision-making problems become extremely large and complex as additional uncertainties and possible future outcomes are included in their formulation. Row and column aggregation can significantly reduce this complexity, but the solutions of the aggregated problem only provide an approximation of the true solution. In this paper, error bounds on the value of the optimal solution of the original problem are obtained from the solution of the aggregated problem. These bounds apply for aggregation of both random variables and time periods.

引用

页码：25 / 41

页数：17

共 18 条

[1]

ASHFORD RW, 1982, STOCHASTIC PROGRAMMI

[2]

BEALE EML, 1955, J ROY STAT SOC B, V17, P173

[3]

BEALE EML, 1980, STOCHASTIC PROGRAMMI, P387

[4]

BIRGE JR, 1982, 826 U MICH DEP IND O

[5]

BIRGE JR, UNPUB P S INEQUALITI

[6] LINEAR PROGRAMMING UNDER UNCERTAINTY [J].

Dantzig, George B. .

MANAGEMENT SCIENCE, 1955, 1 (3-4) :197-206

[7]

Dempster M.A.H., 1980, STOCHASTIC PROGRAMMI, P3

[8] DUALITY FOR STOCHASTIC PROGRAMMING INTERPRETED AS L P IN LP-SPACE [J].

EISNER, MJ ;

OLSEN, P .

SIAM JOURNAL ON APPLIED MATHEMATICS, 1975, 28 (04) :779-792

[9]

GRINOLD RC, 1980, ENERGY POLICY MODELI, V2, P216

[10]

HUANG C, 1974, OPERATIONS RES, V25, P315

← 1 2 →