书目名称 | Stochastic Two-Stage Programming |
编辑 | Karl Frauendorfer |
视频video | |
丛书名称 | Lecture Notes in Economics and Mathematical Systems |
图书封面 |  |
描述 | Stochastic Programming offers models and methods fordecision problems wheresome of the data are uncertain.These models have features and structural properties whichare preferably exploited by SP methods within thesolutionprocess. This work contributes to the methodology fortwo-stagemodels. In these models the objective function isgiven as an integral, whose integrand depends on a randomvector, on its probability measure andon a decision.The main results of this work have been derived with theintention to ease these difficulties: After investigatingduality relations for convex optimization problems withsupply/demand and pricesbeing treated as parameters, astability criterion is stated andprovessubdifferentiability of the value function. This criterionisemployed for proving the existence of bilinear functions,which minorize/majorize the integrand. Additionally, theseminorants/majorantssupport the integrand on generalizedbarycenters of simplicial faces of specially shapedpolytopes and amount to an approach which is denotedbarycentric approximation scheme. |
出版日期 | Book 1992 |
关键词 | Decision Theory; Stochastic Programming; mathematical programming; mathematische Programmierung; optimiz |
版次 | 1 |
doi | https://doi.org/10.1007/978-3-642-95696-6 |
isbn_softcover | 978-3-540-56097-5 |
isbn_ebook | 978-3-642-95696-6Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
issn_series | 0075-8442 |
copyright | Springer-Verlag Berlin Heidelberg 1992 |