Restricted-Recourse Bounds for Stochastic Linear Programming

David P. Morton and R. Kevin Wood
Additional contact information
David P. Morton: Graduate Program in Operations Research, The University of Texas at Austin, Austin, Texas 78712
R. Kevin Wood: Operations Research Department, Naval Postgraduate School, Monterey, California 93943

Operations Research, 1999, vol. 47, issue 6, 943-956

Abstract: We consider the problem of bounding the expected value of a linear program (LP) containing random coefficients, with applications to solving two-stage stochastic programs. An upper bound for minimizations is derived from a restriction of an equivalent, penalty-based formulation of the primal stochastic LP, and a lower bound is obtained from a restriction of a reformulation of the dual. Our “restricted-recourse bounds” are more general and more easily computed than most other bounds because random coefficients may appear anywhere in the LP, neither independence nor boundedness of the coefficients is needed, and the bound is computed by solving a single LP or nonlinear program. Analytical examples demonstrate that the new bounds can be stronger than complementary Jensen bounds. (An upper bound is “complementary” to a lower bound, and vice versa). In computational work, we apply the bounds to a two-stage stochastic program for semiconductor manufacturing with uncertain demand and production rates.

Keywords: programming; stochastic; bounds; networks/graphs; stochastic; facilities/equipment planning; capacity expansion (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://dx.doi.org/10.1287/opre.47.6.943 (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:47:y:1999:i:6:p:943-956

Access Statistics for this article

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