## A tighter variant of Jensen's lower bound for stochastic programs and separable approximations to recourse functions

- Huseyin Topaloglu
- European Journal of Operational Research
- 2009

Highly Influenced

@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} }

- Published 1989 in Math. Program.
DOI:10.1007/BF01582286

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 growsâ€¦Â CONTINUE READING

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