ISSN:
1432-5217
Schlagwort(e):
Stochastic Programming
;
Empirical Measures
;
Uniform Convergence
;
Value Functions of Mixed-Integer Linear Programs
Quelle:
Springer Online Journal Archives 1860-2000
Thema:
Mathematik
,
Wirtschaftswissenschaften
Notizen:
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.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1007/BF01193835
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