COMPUTATIONAL METHODS FOR SOLVING 2-STAGE STOCHASTIC LINEAR-PROGRAMMING PROBLEMS

被引：42

作者：

KALL, P

机构：

[1] Institut für Operations Research, und mathematische Methoden der Wirtschaftswissenschaften der Universität Zürich, Zürich

来源：

ZEITSCHRIFT FUR ANGEWANDTE MATHEMATIK UND PHYSIK | 1979年 / 30卷 / 02期

关键词：

D O I：

10.1007/BF01601939

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Approximating a given continuous probability distribution of the data of a linear program by a discrete one yields solution methods for the stochastic linear programming problem with complete fixed recourse. For a procedure along the lines of [8], the reduction of the computational amount of work compared to the usual revised simplex method is figured out. Furthermore, an alternative method is proposed, where by refining particular discrete distributions the optimal value is approximated. © 1979 Birkhäuser Verlag.

引用

页码：261 / 271

页数：11

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[8]

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