Show simple item record

2001-11-05Buch DOI: 10.18452/8263
Adapting an approximate level method to the two-stage stochastic programming problem
dc.contributor.authorFábián, Csaba I.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:45:11Z
dc.date.available2017-06-16T19:45:11Z
dc.date.created2006-02-16
dc.date.issued2001-11-05
dc.date.submitted2001-09-04
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8915
dc.description.abstractWe present a decomposition method for the solution of stwo-stage stochastic programming problems. This is an approximate method that can handle problems with large number scenarios. At the beginning, only rough approximation of the objective function is required. As the optimum is gradually approached, more and more accurate data are computed. The required accuracy is known at each step, hence efforts can be coordinated. The present framwork enables the application of interior-point methods because the convergence proof does not rely on basic solutions. Moreover, the classic discretization methods and stochastic approximation schemes naturally fit into the present framework.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc510 Mathematik
dc.titleAdapting an approximate level method to the two-stage stochastic programming problem
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10058295
dc.identifier.urnurn:nbn:de:kobv:11-10058304
dc.identifier.doihttp://dx.doi.org/10.18452/8263
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages13
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2001
local.edoc.container-issue12
local.edoc.container-erstkatid2936317-2

Show simple item record