Limited recourse in two stage stochastic linear programs

Limited recourse in two stage stochastic linear programs

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Article ID: iaor20042690
Country: India
Volume: 24
Issue: 3
Start Page Number: 445
End Page Number: 465
Publication Date: Sep 2003
Journal: Journal of Information & Optimization Sciences
Authors: , , ,
Keywords: programming: linear
Abstract:

In several real-world applications, modelled by two-stage stochastic problems, first- and second-stage decisions (or some of their components) represent identical variables of the problem that is modelled. In these cases an appropriate solution of the problem might require that the second-stage decisions do not differ substantially from the corresponding first-stage ones. In this paper we propose a parametric approach to control the variability of the first- and second-stage decisions and present a suitable solution framework. The advantage of the new approach is illustrated by considering two specific applications in electric power management and financial planning.

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