| Article ID: | iaor20002450 |
| Country: | Germany |
| Volume: | 86 |
| Issue: | 1 |
| Start Page Number: | 51 |
| End Page Number: | 63 |
| Publication Date: | Jan 1999 |
| Journal: | Mathematical Programming |
| Authors: | Pritchard G., Zakeri G. |
We present a construction which gives deterministic upper bounds for stochastic programs in which the randomness appears on the right-hand-side and has a multivariate Gaussian distribution. Computation of these bounds requires the solution of only as many linear programs as the problem has variables.