Scenario-based stochastic programs: Resistance with respect to sample

被引：30

作者：

Dupacova, J ^{[1
]}

机构：

[1] CHARLES UNIV,FAC MATH & PHYS,CR-18600 PRAGUE 8,CZECH REPUBLIC

来源：

ANNALS OF OPERATIONS RESEARCH | 1996年 / 64卷

关键词：

contamination technique; SLP with random recourse; robust optimization; expected value problems; post-optimality; sensitivity analysis; worst-case analysis;

D O I：

10.1007/BF02187639

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

A contamination technique is presented as a numerically tractable tool to post-optimization and analysis of robustness of the optimal value of scenario-based stochastic programs and of the expected value problems. Detailed applications of the method concern the two-stage stochastic linear programs with random recourse and the corresponding robust optimization problems.

引用

页码：21 / 38

页数：18

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