Two-stage stochastic programs with mixed probabilities

被引：5

作者：

Bosch, Paul

Jofre, Alejandro

Schultz, Ruediger

机构：

[1] Univ Diego Portales, Fac Ingn, Santiago, Spain

[2] Univ Chile, Ctr Modelamiento Matemat, Dept Ing Matemat, Santiago, Chile

[3] Univ Duisburg Essen, Dept Math, D-47048 Duisburg, Germany

来源：

SIAM JOURNAL ON OPTIMIZATION | 2007年 / 18卷 / 03期

关键词：

stochastic programming; two-stage models; stability analysis;

D O I：

10.1137/050648754

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We extend the traditional two-stage linear stochastic program by probabilistic constraints imposed in the second stage. This adds nonlinearity such that basic arguments for analyzing the structure of linear two-stage stochastic programs have to be rethought from the very beginning. We identify assumptions under which the problem is structurally sound and behaves stably under perturbations of probability measures.

引用

页码：778 / 788

页数：11

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