Techniques for Incorporating Expected Value Constraints into Stochastic Programs

@inproceedings{InfangerTechniquesFI,
  title={Techniques for Incorporating Expected Value Constraints into Stochastic Programs},
  author={Gerd Infanger}
}
In this dissertation, techniques for solving a class of stochastic programs that are characterized by constraints on the expected value of some uncertain quantity are explored. These expected value constraints cause the structure of the problem to deviate from the dual angular structure required for using Benders decomposition, so other approaches must be considered. One approach is to reformulate the problem to return it to a dual angular structure. Second-stage variables that are represented… CONTINUE READING

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