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  • 1990-1994  (1)
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  • 1990-1994  (1)
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    Electronic Resource
    Electronic Resource
    Bounding separable recourse functions with limited distribution information (1991)
    Springer
    Annals of operations research 30 (1991), S. 277-298 
    Details
    ISSN: 1572-9338
    Keywords: Integration ; stochastic programming ; moment problem ; duality ; approximation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract The recourse function in a stochastic program with recourse can be approximated by separable functions of the original random variables or linear transformations of them. The resulting bound then involves summing simple integrals. These integrals may themselves be difficult to compute or may require more information about the random variables than is available. In this paper, we show that a special class of functions has an easily computable bound that achieves the best upper bound when only first and second moment constraints are available.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02204821
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