# Sequential Bounding Methods for Two-Stage Stochastic Programs

@article{Gose2016SequentialBM, title={Sequential Bounding Methods for Two-Stage Stochastic Programs}, author={Alexander H. Gose and Brian T. Denton}, journal={INFORMS Journal on Computing}, year={2016}, volume={28}, pages={351-369} }

- Published 2016 in INFORMS Journal on Computing
DOI:10.1287/ijoc.2015.0682

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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