Stochastic Two-Stage Programming by Karl Frauendorfer
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Stochastic Two-Stage Programming

Stochastic Two-Stage Programming


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About the Book

Stochastic Programming offers models and methods for decision problems wheresome of the data are uncertain. These models have features and structural properties which are preferably exploited by SP methods within the solution process. This work contributes to the methodology for two-stagemodels. In these models the objective function is given as an integral, whose integrand depends on a random vector, on its probability measure and on a decision. The main results of this work have been derived with the intention to ease these difficulties: After investigating duality relations for convex optimization problems with supply/demand and prices being treated as parameters, a stability criterion is stated and proves subdifferentiability of the value function. This criterion is employed for proving the existence of bilinear functions, which minorize/majorize the integrand. Additionally, these minorants/majorants support the integrand on generalized barycenters of simplicial faces of specially shaped polytopes and amount to an approach which is denoted barycentric approximation scheme.


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Product Details
  • ISBN-13: 9783540560975
  • Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Binding: Paperback
  • Height: 244 mm
  • No of Pages: 228
  • Series Title: Lecture Notes in Economic and Mathematical Systems
  • Weight: 449 gr
  • ISBN-10: 3540560971
  • Publisher Date: 17 Dec 1992
  • Edition: Softcover reprint of the original 1st ed. 1992
  • Language: English
  • Returnable: Y
  • Spine Width: 13 mm
  • Width: 170 mm


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