Sequential Bounding Methods for Two-Stage Stochastic Programs

  title={Sequential Bounding Methods for Two-Stage Stochastic Programs},
  author={Alexander H. Gose and Brian T. Denton},
  journal={INFORMS Journal on Computing},
In rare situations, stochastic programs can be solved analytically. Otherwise, approximation is necessary to solve stochastic programs with a large or infinite number of scenarios to a desired level of accuracy. This involves statistical sampling or deterministic selection of a finite set of scenarios to obtain a tractable deterministic equivalent problem. Some of these approaches rely on bounds for primal and dual decision variables of the second stage. We develop new algorithms to improve… CONTINUE READING
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