Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem

John R. Birge · Roger J.‐B. Wets

73 citations0/0 files storedMathematics of Operations Research

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Risk and Portfolio Optimization Probability and Statistical Research Advanced Optimization Algorithms Research

Abstract

Bounds on the expected value of a convex function are obtained by means of an approximating generalized moment problem. Numerical implementation is discussed in the context of stochastic programming problems.

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1986Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse 1982Solving Stochastic Programming Problems with Recourse Including Error Bounds

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