A dual strategy for the implementation of the aggregation principle in decision making under uncertainty

R. T. Rockafellar and Roger J.‐B. Wets

Applied Stochastic Models and Data Analysis, 1992, vol. 8, issue 3, 245-255

Abstract: A solution method for stochastic programs is proposed based on the aggregation principle, which allows one to find the solution of a stochastic program by aggregating the solutions of individual deterministic scenario problems. The method concentrates on finding good estimates of the dual variables associated with the non‐anticipativity constraints.

Date: 1992
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https://doi.org/10.1002/asm.3150080312

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:8:y:1992:i:3:p:245-255

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