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L-shaped decomposition of two-stage stochastic programs with integer recourse

✍ Scribed by Claus C. Carøe; Jørgen Tind

Book ID
110621521
Publisher
Springer-Verlag
Year
1998
Tongue
English
Weight
748 KB
Volume
83
Category
Article
ISSN
0025-5610

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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