Computation in Discrete Stochastic Programs with Recourse

Stanley J. Garstka and David P. Rutenberg
Additional contact information
Stanley J. Garstka: University of Chicago, Chicago, Illinois
David P. Rutenberg: Carnegie-Mellon University, Pittsburgh, Pennsylvania

Operations Research, 1973, vol. 21, issue 1, 112-122

Abstract: This paper presents a solution procedure for discrete stochastic programs with recourse (linear programs under uncertainty). It views the m stochastic elements of the requirements vector as an m -dimensional space in which each combination of the discrete values is a lattice point. For a given second-stage basis, certain of the lattice points are feasible. A procedure is presented to delete infeasible points from the space. Thus, the aggregate probability associated with points feasible for this basis can be enumerated, and used to weight the vector of dual variables defined by the basis. Finally, the paper presents a systematic procedure for changing optimal bases so that a feasible and optimal basis is found for every lattice point.

Date: 1973
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://dx.doi.org/10.1287/opre.21.1.112 (application/pdf)

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:inm:oropre:v:21:y:1973:i:1:p:112-122

Access Statistics for this article

More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().