Two-stage stochastic problems with correlated normal variables: computational experiences

István Deák ()

Annals of Operations Research, 2006, vol. 142, issue 1, 79-97

Abstract: Two-stage models are frequently used when making decisions under the influence of randomness. The case of normally distributed right hand side vector – with independent or correlated components – is treated here. The expected recourse function is computed by an enhanced Monte Carlo integration technique. Successive regression approximation technique is used for computing the optimal solution of the problem. Computational issues of the algorithm are discussed, improvements are proposed and numerical results are presented for random right hand side and a random matrix in the second stage problems. Copyright Springer Science + Business Media, Inc. 2006

Date: 2006
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DOI: 10.1007/s10479-006-6162-2

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