A note on decision rules for stochastic
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David W. Walkup; Roger J.-B. Wets
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Article
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1968
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Elsevier Science
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English
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In this note it will be shown that, in a sense to be made precise, a two-stage stochastic program with recourse with right-hand sides random (i.e., a two-stage programming under uncertainty problem) has optimal decision rules which are continuous and piecewise linear. The proof relies on a basic pro