Sublinear upper bounds for stochastic programs with recourse

@article{Birge1989SublinearUB,
  title={Sublinear upper bounds for stochastic programs with recourse},
  author={John R. Birge and Roger J.-B. Wets},
  journal={Math. Program.},
  year={1989},
  volume={43},
  pages={131-149}
}
Separable sublinear functions are used to provide upper bounds on the recourse function of a stochastic program. The resulting problem's objective involves the inf-convolution of convex functions. A dual of this problem is formulated to obtain an implementable procedure to calculate the bound. Function evaluations for the resulting convex program only require a small number of single integrations in contrast with previous upper bounds that require a number of function evaluations that grows… CONTINUE READING
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