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The value of the stochastic solution in stochastic linear programs with fixed recourse. (English) Zbl 0502.90065


MSC:

90C15 Stochastic programming
90C05 Linear programming

Citations:

Zbl 0205.226
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References:

[1] M. Avriel and A. C. Williams, ”The value of information and stochastic programming”,Operations Research 18 (1970) 947–954. · Zbl 0205.22603
[2] E.M.L. Beale, ”On minimizing a convex function subject to linear inequalities”,Journal of the Royal Statistical Society B 17 (1955) 173–184. · Zbl 0068.13701
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[4] G.B. Dantzig, ”Upper bounds, secondary constraints, and block triangularity in linear programming”,Econometrica 23 (1955) 174–183. · Zbl 0064.39501
[5] H.S. Gunderson, J.G. Morris and H.E. Thompson, ”Stochastic programming without recourse: a modification from an applications viewpoint”,Journal of the Operational Research Society 29 (1978) 769–778. · Zbl 0381.90083
[6] C.C. Huang, I. Vertinsky and W.T. Ziemba, ”Sharp bounds on the value of perfect information”,Operations Research 25 (1977) 128–139. · Zbl 0381.90084
[7] A. Madansky, ”Inequalities for stochastic linear programming problems”,Management Science 6 (1960) 197–204. · Zbl 0995.90601
[8] H. Raiffa and R. Schlaifer,Applied statistical decision theory (Harvard Business School, Boston, MA, 1961) pp. 88–92. · Zbl 0952.62008
[9] D.W. Walkup and R. Wets, ”Stochastic programs and recourse”,SIAM Journal of Applied Mathematics 15 (1967) 1299–1314. · Zbl 0203.21806
[10] R. Wets, ”Stochastic programs with fixed recourse: the equivalent deterministic program”,SIAM Review 16 (1974) 309–339. · Zbl 0311.90056
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