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A Linear Two-Stage Stochastic Programming Problem with Quantile Criterion: Its Discrete Approximation

✍ Scribed by A.I. Kibzun; I.V. Nikulin

Book ID
110288676
Publisher
SP MAIK Nauka/Interperiodica
Year
2001
Tongue
English
Weight
148 KB
Volume
62
Category
Article
ISSN
0005-1179

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We apply the techniques of response surface methodology (RSM) to approximate the objective function of a two-stage stochastic linear program with recourse. In particular, the objective function is estimated, in the region of optimality, by a quadratic function of the firststage decision variables. T