Bounds for two-stage stochastic programs with fixed recourse

This paper develops upper and lower bounds on two-stage stochastic linear programs using limited moment information. The case considered is when both the right-hand side as well as the objective coefficients of the second stage problem are random. Random variables are allowed to have arbitrary multivariate probability distributions with bounded support. First, upper and lower bounds are obtained using first and cross moments, from which bounds using only first moments are developed. The bounds are shown to solve the respective general moment problems.