BOUNDS FOR TWO-STAGE STOCHASTIC PROGRAMS WITH FIXED RECOURSE

N. C. P. Edirisinghe and W. T. Ziemba

Chapter 4 in Selected Works of William T Ziemba:A Memorial Volume, 2024, pp 57-78 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This paper develops upper and lower bounds on two-stage stochastic linear programs using limited moment information. The case considered is when both the right-hand side as well as the objective coefficients of the second stage problem are random. Random variables are allowed to have arbitrary multivariate probability distributions with bounded support. First, upper and lower bounds are obtained using first and cross moments, from which we develop bounds using only first moments. The bounds are shown to solve the respective general moment problems.

Keywords: William Ziemba; Financial Planning Models; Racetrack Betting; Sports Analytics; Market Anomalies; Risk Factors (search for similar items in EconPapers)
JEL-codes: C44 C6 G11 G12 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811285530_0004 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811285530_0004 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789811285530_0004

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().