Shape – A Stochastic Hybrid Approximation Procedure for Two-Stage Stochastic Programs
نویسندگان
چکیده
منابع مشابه
Shape - a Stochastic Hybrid Approximation Procedure for Two-Stage Stochastic Programs
We consider the problem of approximating the expected recourse function for two-stage stochastic programs. Our problem is motivated by applications which have special structure such as an underlying network which allows reasonable approximations to the expected recourse function to be developed. In this paper, we show how these approximations can be improved by combining them with sample gradie...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2000
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.48.1.73.12452