| Autor: |
Dokov, Steftcho P., Morton, David P. |
| Přispěvatelé: |
Higle, Julie L., Römisch, Werner, Sen, Surrajeet |
| Jazyk: |
angličtina |
| Rok vydání: |
2002 |
| Předmět: |
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| DOI: |
10.18452/8272 |
| Popis: |
We develop a decreasing sequence of upper bounds on the expectation of a convex function. The n-th term in the sequence uses moments and cross-moments of up to degree n from the underlying random vector. Our work has application to a class of two-stage stochastic programs with recourse. The objective function of such a model can defy computation when: (i) the underlying distribution is assumed to be known only through a limited number of moments or (ii) the function is computationally intractable, even though the distribution is known. A tractable approximating model arises by replacing the objective function by one of our bounding elements. We justify this approach by showing that as n grows, solutions of the order-n approximation solve the true stochastic program. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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