Stochastic Decomposition for Two-Stage Stochastic Linear Programs with Random Cost Coefficients
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DOI: 10.1287/ijoc.2019.0929
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References listed on IDEAS
- Suvrajeet Sen & Yifan Liu, 2016. "Mitigating Uncertainty via Compromise Decisions in Two-Stage Stochastic Linear Programming: Variance Reduction," Operations Research, INFORMS, vol. 64(6), pages 1422-1437, December.
- Julia L. Higle & Suvrajeet Sen, 1991. "Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse," Mathematics of Operations Research, INFORMS, vol. 16(3), pages 650-669, August.
- Julia Higle & Suvrajeet Sen, 1999. "Statistical approximations forstochastic linear programming problems," Annals of Operations Research, Springer, vol. 85(0), pages 173-193, January.
- Jeff Linderoth & Alexander Shapiro & Stephen Wright, 2006. "The empirical behavior of sampling methods for stochastic programming," Annals of Operations Research, Springer, vol. 142(1), pages 215-241, February.
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Keywords
stochastic programming; stochastic decomposition; sample average approximation; two-stage models with random cost coefficients; sequential sampling;All these keywords.
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