Stochastic programs over trees with random arc capacities

  title={Stochastic programs over trees with random arc capacities},
  author={Warren B. Powell and Raymond K.-M. Cheung},
In this paper, we study a special class of stochastic programs where the recourse problem consists of trees with random arc capacities, which we call tree recourse. We develop an efficient procedure to obtain the expected recourse function exactly for single-stage problems. This procedure is used in a backward recursion to find the exact expected recourse function for multistage trees. We show that for large trees n-stage networks can be solved more easily than can a single-stage network with n… CONTINUE READING

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