ISSN:
1432-5217
Keywords:
Stochastic Programming
;
Empirical Measures
;
Uniform Convergence
;
Value Functions of Mixed-Integer Linear Programs
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original expected recourse function is established.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01193835
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