Stochastic Two-Stage Programming (Paperback, Softcover reprint of the original 1st ed. 1992)

Stochastic Programming offers models and methods for decision problems wheresome of the data are uncertain. These models have features and structural properties which are preferably exploited by SP methods within the solution process. This work contributes to the methodology for two-stagemodels. In these models the objective function is given as an integral, whose integrand depends on a random vector, on its probability measure and on a decision. The main results of this work have been derived with the intention to ease these difficulties: After investigating duality relations for convex optimization problems with supply/demand and prices being treated as parameters, a stability criterion is stated and proves subdifferentiability of the value function. This criterion is employed for proving the existence of bilinear functions, which minorize/majorize the integrand. Additionally, these minorants/majorants support the integrand on generalized barycenters of simplicial faces of specially shaped polytopes and amount to an approach which is denoted barycentric approximation scheme.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Lecture Notes in Economics and Mathematical Systems, 392
Release date:	December 1992
First published:	1992
Authors:	Karl Frauendorfer
Dimensions:	242 x 170 x 13mm (L x W x T)
Format:	Paperback
Pages:	228
Edition:	Softcover reprint of the original 1st ed. 1992
ISBN-13:	978-3-540-56097-5
Categories:	Books > Business & Economics > Economics > Economic theory & philosophy Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Promotions
LSN:	3-540-56097-1
Barcode:	9783540560975

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