Upper bounds for Gaussian stochastic programs
نویسندگان
چکیده
We present a construction which gives deterministic upper bounds for stochastic programs in which the randomness appears on the right{hand{side and has a multivariate Gaussian distribution. Computation of these bounds requires the solution of only as many linear programs as the problem has variables.
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عنوان ژورنال:
- Math. Program.
دوره 86 شماره
صفحات -
تاریخ انتشار 1999