A Min-Max-Max-Min Approach to Solving a Stochastic Programming Problem with Simple Recourse

D. J. White
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D. J. White: Faculty of Economics and Social Studies, University of Manchester, Manchester M13 9PL, United Kingdom

Management Science, 1992, vol. 38, issue 4, 540-554

Abstract: This paper studies a problem of determining the level of certain decisions, taken prior to certain events taking place, and the subsequent additional resource procurement decisions needed to implement the initial program once these events have materialised. The problem is formulated first of all as a max-min problem, and then as an equivalent min-max problem. The min-max problem is easier to solve than the max-min problem. The information provided in solving the min-max problem may be used to facilitate the solution of the max-min problem.

Keywords: stochastic programming; algorithm; saddle point (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:38:y:1992:i:4:p:540-554

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