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Solving SLP Recourse Problems with Arbitrary Multivariate Distributions—The Dependent Case

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References

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1986Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse252 cited
1977Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming108 cited

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1991Statistical verification of optimality conditions for stochastic programs with recourse69 cited
2006Solving two-stage stochastic programming problems with level decomposition64 cited
1994Bounds for Two-Stage Stochastic Programs with Fixed Recourse64 cited
2018Problem-based optimal scenario generation and reduction in stochastic programming61 cited
1996SLP-IOR: An interactive model management system for stochastic linear programs49 cited
1993Stability of Solutions for Stochastic Programs with Complete Recourse46 cited
2012A hierarchy of bounds for stochastic mixed-integer programs

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40 cited

1995Algorithms for the solution of stochastic dynamic minimax problems40 cited

1992Real-Time Scheduling on a Transit Bus Route17 cited