Bounds for Two-Stage Stochastic Programs with Fixed Recourse

N. C. P. Edirisinghe · William T. Ziemba

64 citations0/0 files storedMathematics of Operations Research

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Risk and Portfolio Optimization Complexity and Algorithms in Graphs Advanced Optimization Algorithms Research

Abstract

This paper develops upper and lower bounds on two-stage stochastic linear programs using limited moment information. The case considered is when both the right-hand side as well as the objective coefficients of the second stage problem are random. Random variables are allowed to have arbitrary multivariate probability distributions with bounded support. First, upper and lower bounds are obtained using first and cross moments, from which we develop bounds using only first moments. The bounds are shown to solve the respective general moment problems.

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References

2010Stochastic Linear Programming 1974Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program 1986Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse 1988Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case

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1996Challenges in stochastic programming

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