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" Stochastic two-stage programming "
Karl Frauendorfer.
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BL
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| Record Number
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746550
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b566500
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| Main Entry
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Karl Frauendorfer.
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| Title & Author
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Stochastic two-stage programming\ Karl Frauendorfer.
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| Publication Statement
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Berlin : Springer, ©1992.
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| Series Statement
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Lecture notes in economics and mathematical systems, 392
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| Page. NO
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VIII, 228 p. ; 24 cm.
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| ISBN
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0387560971
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: 3540560971
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: 9780387560977
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: 9783540560975
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| Contents
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0 Preliminaries.- I Stochastic Two-Stage Problems.- 1 Convex Case.- 2 Nonconvex Case.- 3 Stability.- 4 Epi-Convergence.- 5 Saddle Property.- 6 Stochastic Independence.- 7 Special Convex Cases.- II Duality and Stability in Convex Optimization (Extended Results for the Saddle Case).- 8 Characterization and Properties of Saddle Functions.- 9 Primal and Dual Collections of Programs.- 10 Normal and Stable Programs.- 11 Relation to McLinden's Results.- 12 Application to Convex Programming.- III Barycentric Approximation.- 13 Inequalities and Extremal Probability Measures - Convex Case.- 14 Inequalities and Extremal Probability Measures - Saddle Case.- 15 Examples and Geometric Interpretation.- 16 Iterated Approximation and x-Simplicial Refinement.- 17 Application to Stochastic Two-Stage Programs.- 18 Convergence of Approximations.- 19 Refinement Strategy.- 20 Iterative Completion.- IV An Illustrative Survey of Existing Approaches in Stochastic Two-Stage Programming.- 21 Error Bounds for Stochastic Programs with Recourse (due to Kali & Stoyan).- 22 Approximation Schemes discussed by Birge & Wets.- 23 Sublinear Bounding Technique (due to Birge & Wets).- 24 Stochastic Quasigradient Techniques (due to Ermoliev).- 25 Semi-Stochastic Approximation (due to Marti).- 26 Benders' Decomposition with Importance Sampling (due to Dantzig & Glynn).- 27 Stochastic Decomposition (due to Higle & Sen).- 28 Mathematical Programming Techniques.- 29 Scenarios and Policy Aggregation (due to Rockafellar & Wets).- V BRAIN - BaRycentric Approximation for Integrands (Implementation Issues).- 30 Storing Distributions given through a Finite Set of Parameters.- 31 Evaluation of Initial Extremal Marginal Distributions.- 32 Evaluation of Initial Outer and Inner Approximation.- 33 Data for x-Simplicial Partition.- 34 Evaluation of Extremal Distributions - Iteration!.- 35 Evaluation of Outer and Inner Approximation - Iteration J.- 36 x-Simplicial Refinement.- VI Solving Stochastic Linear Two-Stage Problems (Numerical Results and Computational Experiences).- 37 Testproblems from Literature.- 38 Randomly Generated Testproblems.
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| Subject
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Programmazione lineare.
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| Subject
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Programmazione matematica.
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| LC Classification
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T57.79K375 1992
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| Added Entry
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Karl Frauendorfer
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