COMPUTATION IN DISCRETE STOCHASTIC PROGRAMS WITH RECOURSE.
CARNEGIE-MELLON UNIV PITTSBURGH PA MANAGEMENT SCIENCES RESEARCH GROUP
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A solution procedure is presented for discrete stochastic programs with recourse linear programs under uncertainty. The m stochastic elements of the requirements vector are viewed as an m dimensional space, in which each combination of the discrete values is a lattice point. For a given second-stage basis certain of the lattice points are feasible. A procedure is presented to fit the tightest m dimensional closed interval about these feasible points. Then, infeasible points within this interval are deleted. Thus the aggregate probability associated with lattice points feasible for this basis can be enumerated, and used to weigh the vector of dual variables defined by the basis. A systematic procedure to change optimal bases is presented so that a feasible and optimal basis is found for every lattice point. Author
- Operations Research