A simulation-based approach to two-stage stochastic programming with recourse

Abstract

In this paper we consider stochastic programming problems where the objective function is given as an expected value function. We discuss Monte Carlo simulation based approaches to a numerical solution of such problems. In particular, we discuss in detail and present numerical results for two-stage stochastic programming with recourse where the random data… (More)
DOI: 10.1007/BF01580086

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