Name
Abstract | ||
|---|---|---|
We propose a new variant of the two-stage recourse model. It can be used e.g., in managing resources in whose supply random
interruptions may occur. Oil and natural gas are examples for such resources. Constraints in the resulting stochastic programming
problems can be regarded as generalizations of integrated chance constraints. For the solution of such problems, we propose
a new decomposition method that integrates a bundle-type convex programming method with the classic distribution approximation
schemes. Feasibility and optimality issues are taken into consideration simultaneously, since we use a convex programming
method suited for constrained optimization. This approach can also be applied to traditional two-stage problems whose recourse
functions can be extended to the whole space in a computationally efficient way. Network recourse problems are an example
for such problems. We report encouraging test results with the new method. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1007/s10287-006-0026-8 | Comput. Manag. Science |
Keywords | Field | DocType |
Stochastic recourse models,Decomposition,Successive approximation,90C15 Stochastic programming | Second-order cone programming,Mathematical optimization,Nonlinear programming,Constraint programming,Decomposition method (constraint satisfaction),Reactive programming,Convex optimization,Stochastic programming,Mathematics,Constrained optimization | Journal |
Volume | Issue | ISSN |
4 | 4 | 1619-697X |
Citations | PageRank | References |
20 | 1.70 | 19 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Csaba I. Fábián | 1 | 108 | 7.18 |
| Zoltán Szőke | 2 | 20 | 1.70 |