Two-Stage Recourse Problems
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.`
KeywordsStochastic Program Master Problem Interior Point Method Maximal Monotone Operator Shaped Method
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