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Two-Stage Recourse Problems

  • John R. BirgeEmail author
  • François Louveaux
Chapter
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)

Abstract

Computation in stochastic programs with recourse has focused on two-stage problems with finite numbers of realizations. This problemwas introduced in the farming example of Chapter 1. As we saw in the capacity expansion model, this problem can also represent multiple stages of decisions with block separable recourse and it provides a foundation for multistage methods. The two-stage problem is, therefore, our primary model for computation.`

Keywords

Stochastic Program Master Problem Interior Point Method Maximal Monotone Operator Shaped Method 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.Booth School of BusinessUniversity of ChicagoChicagoUSA
  2. 2.Department of Business AdministrationUniversity of NamurNamurBelgium

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