Abstract
Suppose, that we have a problem of stochastic programming with a random parameter. Let this random variable has a distribution P. In the case, that we do not know the distribution P (we have only some partial information about it), we can not get solution of our problem (if we use the same formulation like we would know P). Thus it is valuable to know at least the interval, that covers the optimal value of the problem for all possible P.
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Víšek, T. (1997). Bounds for Stochastic Programs — Nonconvex Case. In: Beneš, V., Štěpán, J. (eds) Distributions with given Marginals and Moment Problems. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-5532-8_26
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DOI: https://doi.org/10.1007/978-94-011-5532-8_26
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