Two-stage stochastic programs with mixed probabilities

被引：0

作者：

Bosch, Paul ^{[1
]}

Jofre, Alejandro ^{[2
,3
]}

Schultz, Ruediger ^{[4
]}

机构：

[1] Univ Diego Portales, Fac Ingn, Ave Ejercito 441,5To Piso, Santiago, Chile

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

[3] Univ Chile, Dept Ingn Matemat, Santiago, Chile

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

来源：

WORLD CONGRESS ON ENGINEERING 2008, VOLS I-II | 2008年

关键词：

stochastic programming; two-stage models; stability analysis;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

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 stable under perturbations of probability measures.

引用

页码：1707 / 1707

页数：1

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