We consider quadratic stochastic programs with random recourse — a class of problems which is perceived to be computationally demanding. Instead of using mainstream scenario tree-based techniques, we reduce computational complexity by restricting the space of recourse decisions to those linear and quadratic in the observations, thereby obtaining an upper bound on the original problem. To estima...

In this paper, we introduce a class of stochastic programming problem with fixed charge recourse in which a fixed cost is imposed if the value of the continuous recourse variable is strictly positive. The algorithm of a branch-and-cut method to solve the problem is developed by using the property of the expected recourse function. Then, the problem is applied to a power generating system. The n...

Existing complexity results in stochastic linear programming using the Turing model depend only on problem dimensionality. We apply techniques from the information-based complexity literature to show that the smoothness of the recourse function is just as important. We derive approximation error bounds for the recourse function of two-stage stochastic linear programs and show that their worst c...

We consider multiple simple recourse (MSR) models, both continuous and integer versions, which generalize the corresponding simple recourse (SR) models by allowing for a refined penalty cost structure for individual shortages and surpluses. It will be shown that (convex approximations of) such MSR models can be represented as explicitly specified continuous SR models, and thus can be solved eff...

We propose an approach to linear optimization with recourse that does not involve a probabilistic description of the uncertainty, and allows the decision-maker to adjust the degree of robustness of the model while preserving its linear properties. We model random variables as uncertain parameters belonging to a polyhedral uncertainty set and minimize the sum of the first-stage costs and the wor...

We introduce two-stage stochastic semidefinite programs with recourse and present a Benders decomposition based linearly convergent interior point algorithms to solve them. This extends the results in Zhao [16] wherein it was shown that the logarithmic barrier associated with the recourse function of two-stage stochastic linear programs with recourse behaves as a strongly self-concordant barrie...

Zhao [28] recently showed that the log barrier associated with the recourse function of twostage stochastic linear programs behaves as a strongly self-concordant barrier and forms a self concordant family on the first stage solutions. In this paper we show that the recourse function is also strongly self-concordant and forms a self concordant family for the two-stage stochastic convex quadratic...

—The do-not-exceed (DNE) limit method was proposed to accommodate more variable renewable generation (VRG) securely. However, the lack of involving discrete recourse control precludes this method from gaining more flexibility for better VRG integration. This letter formulates a multi-period DNE limit model considering continuous and discrete recourse controls. This model belongs to two-stage ro...