Preview
Unable to display preview. Download preview PDF.
References
Birge, J. (1982):Decomposition and Partitioning methods for multistage stochastic linear programs, Tech. Report 82-6, Dept. of IE & OR, University of Michigan.
Birge, J. (1983): Using sequential approximations in the L-shaped and generalized programming algorithms for stochastic linear programs, Tech. Report 83-12, Dept. of IE & OR, University of Michigan.
Bisschop, J. and Meeraus, A. (1977): Matrix augmentation and partitioning in the updating of the basis inverse, Mathematical Programming, 18, 7–15.
Cleef, H. (1981): A solution procedure for the two-stage stochastic program with simple recourse, Z. Operations Research, 25, p. 1–13.
Dantzig, G.B. (1963): Linear Programming and Extensions, Princeton University Press.
Eaves, B.C. and Zangwill, W. (1971): Generalized cutting plane algorithms, SIAM J. Control, 9, p. 529–542.
Ermoliev, Yu. (1983): Stochastic quasigradient methods and their application in systems optimization, Stochastics, 9, p. 1–36.
Gill, P.E., Murray, W., Saunders, M.A. and Wright, M.H. (1982): Sparse matrix methods in optimization, Tech. Report SOL-82-17, Systems Optimization Lab., Dept. of Operations Research, Stanford University.
Ho, J. (1974): Nested decomposition for large scale linear programs with the staircase structure, Report SOL-74-4. Systems Optimization Lab., Dept. of Operations Research, Stanford University.
Kallberg, J. and Kusy, M. (1976): Code Instruction for S.L.P.R., a stochastic linear program with simple recourse, Tech. Report, University of British Columbia.
Lemarechal, C. (1982): Numerical experiments in nonsmooth optimization, In: Progress in Nondifferentiable Optimization, E.A. Nurminski (Ed.), IIASA Collaborative Proceedings Series CP-82-S8, p. 61–84.
Murtagh, B. and Saunders, M. (1978): Large-scale linearly constrained optimization, Mathematical Programming 14, p. 41–72.
Nazareth, L. (1983): Variants on Dantzig-Wolfe decomposition with applications to multistage problems, IIASA Working Paper, WP-83-61, Laxenburg, Austria.
Nazareth, L. and Wets, R. J-B. (1983): Algorithms for stochastic programs: the case of nonstochastic tenders, IIASA Working Paper, WP-83-5 (revised version to appear in forthcoming Mathematical Programming Study).
Nazareth, L and Wets, R.J-B. (1984): Stochastic programming with recourse: algorithms and implementation, IIASA Working Paper (forthcoming).
Parikh, S.C. (1968): Lecture notes on stochastic programming, unpublished, University of California, Berkeley.
Polyak, B. (1978): Nonlinear programming methods in the presence of noise, Mathematical Programming, 14, p. 87–97.
Shapiro, J.F. (1979): Mathematical Programming: Structures and Algorithms, John Wiley, New York.
Van Slyke, R. and Wets, R. (1979): L-shaped linear programs with applications to optimal control and stochastic linear programs, SIAM J. on Appl. Math., 17, pp. 638–663.
Wets, R. (1972): Characterization theorems for stochastic programs, Mathematical Programming, 2, 166–175.
Wets, R. (1974): Stochastic programming, unpublished, Lecture Notes, University of California, Berkeley.
Wets, R. (1983a): Stochastic programming: approximation schemes and solution techniques, In: Mathematical Programming 1982: The State-of-the-Art, Springer-Verlag, Berlin.
Wets, R. (1983b): Solving stochastic programs with simple recourse, Stochastics, 10, p. 219–242.
Williams, A.C. (1966): Approximation formulas for stochastic linear programming, SIAM J. Appl. Math., 14, No. 4, p. 668–677.
Ziemba, W.T. (1972): Solving nonlinear problems with stochastic objective functions, Journal of Financial and Quantitative Analysis, VII, p. 1809–1827.
Author information
Authors and Affiliations
Editor information
Rights and permissions
Copyright information
© 1986 Springer-Verlag
About this paper
Cite this paper
Nazareth, J.L. (1986). Algorithms based upon generalized linear programming for stochastic programs with recourse. In: Archetti, F., Di Pillo, G., Lucertini, M. (eds) Stochastic Programming. Lecture Notes in Control and Information Sciences, vol 76. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0006874
Download citation
DOI: https://doi.org/10.1007/BFb0006874
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-16044-1
Online ISBN: 978-3-540-39729-8
eBook Packages: Springer Book Archive