Publication Date:
2014-02-26
Description:
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.
Keywords:
ddc:000
Language:
English
Type:
reportzib
,
doc-type:preprint
Format:
application/postscript
Format:
application/pdf