On Wait-And-See Stochastic Linear Programs: An Application and Algorithm

Patel Nitin R

IIMA Working Papers from Indian Institute of Management Ahmedabad, Research and Publication Department

Abstract: This paper develops a computational algorithm for estimating the mean objective function value of a stochastic linear programming problem of the passive or wait-and-see type. The algorithm is applied to a problem connected with design of a ‘milk-grid’ in India and is found to be computationally effective in that case. It is most likely to be useful in the case of fairly large LP problems with a few (<10) stochastic right hand side variables.

Date: 1977-06-01
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Persistent link: https://EconPapers.repec.org/RePEc:iim:iimawp:wp00240

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