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A simulation-based approach to two-stage stochastic programming with recourse · Study

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ArticleA simulation-based approach to two-stage stochastic programming with recourse

Alexander Shapiro1998

Article1998

A simulation-based approach to two-stage stochastic programming with recourse

Alexander Shapiro · Tito Homem‐de‐Mello

290 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Simulation Techniques and Applications

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References

2010Stochastic Programming 1955Linear Programming under Uncertainty 2004Linear Programming Under Uncertainty 1995Stochastic Programming 1988Numerical Techniques for Stochastic Optimization 1991Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse 1995Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method 1974Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program

Cited by

2014Monte Carlo sampling-based methods for stochastic optimization 2000On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs 2020Robust Stochastic Optimization Made Easy with RSOME 2002The Sample Average Approximation Method for Stochastic Programs with Integer Recourse 2006Assessing solution quality in stochastic programs 2006Chapter 19 Gradient Estimation

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Year1998

Typearticle

Published1998-05-01

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations290

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/bf01580086

openalex_workW1994377487

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