An exact penalty algorithm for recourse-constrained stochastic linear programs

Applied Mathematics and Computation ◽

10.1016/0096-3003(92)90055-6 ◽

1992 ◽

Vol 49 (1) ◽

pp. 39-62 ◽

Author(s):

Diana Yakowitz

Keyword(s):

Linear Programs ◽

Exact Penalty ◽

Penalty Algorithm ◽

Stochastic Linear Programs

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A gaussian upper bound for gaussian multi-stage stochastic linear programs

Mathematical Programming ◽

10.1007/bf02614515 ◽

1997 ◽

Vol 77 (3) ◽

pp. 1-21 ◽

Author(s):

Eithan Schweitzer ◽

Mordecai Avriel

Keyword(s):

Upper Bound ◽

Linear Programs ◽

Multi Stage ◽

Stochastic Linear Programs

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On interior-point based retrospective approximation methods for solving two-stage stochastic linear programs

Proceedings of the 2011 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2011.6148104 ◽

2011 ◽

Author(s):

Soumyadip Ghosh ◽

Raghu Pasupathy

Keyword(s):

Interior Point ◽

Approximation Methods ◽

Linear Programs ◽

Two Stage ◽

Stochastic Linear Programs

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Existence of Solutions for a Class of Bilevel Stochastic Linear Programs

European Journal of Operational Research ◽

10.1016/j.ejor.2021.12.004 ◽

2021 ◽

Author(s):

Matthias Claus

Keyword(s):

Existence Of Solutions ◽

Linear Programs ◽

Stochastic Linear Programs

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Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs

SIAM Journal on Optimization ◽

10.1137/19m1244469 ◽

2021 ◽

Vol 31 (1) ◽

pp. 1017-1048

Author(s):

Raghu Pasupathy ◽

Yongjia Song

Keyword(s):

Sample Average Approximation ◽

Linear Programs ◽

Two Stage ◽

Sequential Sample ◽

Sample Average ◽

Stochastic Linear Programs ◽

Average Approximation

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Variance Reduction and Objective Function Evaluation in Stochastic Linear Programs

INFORMS Journal on Computing ◽

10.1287/ijoc.10.2.236 ◽

1998 ◽

Vol 10 (2) ◽

pp. 236-247 ◽

Author(s):

Julia L. Higle

Keyword(s):

Objective Function ◽

Variance Reduction ◽

Function Evaluation ◽

Linear Programs ◽

Stochastic Linear Programs

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Adaptive and nonadaptive approaches to statistically based methods for solving stochastic linear programs: a computational investigation

Computational Optimization and Applications ◽

10.1007/s10589-010-9366-y ◽

2010 ◽

Vol 51 (2) ◽

pp. 509-532 ◽

Author(s):

Julia L. Higle ◽

Lei Zhao

Keyword(s):

Linear Programs ◽

Computational Investigation ◽

Stochastic Linear Programs

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Stochastic linear programs with restricted recourse

European Journal of Operational Research ◽

10.1016/0377-2217(95)00370-3 ◽

1997 ◽

Vol 101 (1) ◽

pp. 177-192 ◽

Author(s):

Hercules Vladimirou ◽

Stavros A. Zenios

Keyword(s):

Linear Programs ◽

Stochastic Linear Programs

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Cut sharing for multistage stochastic linear programs with interstage dependency

Mathematical Programming ◽

10.1007/bf02592154 ◽

1996 ◽

Vol 75 (2) ◽

pp. 241-256 ◽

Author(s):

Gerd Infanger ◽

David P. Morton

Keyword(s):

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Iterative estimation maximization for stochastic linear programs with conditional value-at-risk constraints

Computational Management Science ◽

10.1007/s10287-011-0135-x ◽

2011 ◽

Vol 9 (4) ◽

pp. 441-458 ◽

Author(s):

Pu Huang ◽

Dharmashankar Subramanian

Keyword(s):

At Risk ◽

Value At Risk ◽

Conditional Value At Risk ◽

Linear Programs ◽

Iterative Estimation ◽

Stochastic Linear Programs

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SDDP for multistage stochastic linear programs based on spectral risk measures

Operations Research Letters ◽

10.1016/j.orl.2012.04.006 ◽

2012 ◽

Vol 40 (5) ◽

pp. 313-318 ◽

Author(s):

Vincent Guigues ◽

Werner Römisch

Keyword(s):

Risk Measures ◽

Linear Programs ◽

Spectral Risk Measures ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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