Stable Stochastic Linear Programs and Applications.

Abstract

A class of stochastic linear programs termed stable stochastic linear programs defined in terms of convergence of sequences of stochastic linear programs is introduced. A sufficient regularity condition for such stability is given, slightly stronger than the necessary and sufficient condition that a stochastic linear program (SLP) have optimal value altogether. Applications of this regularity condition to Monte Carlo methods, numerical solution of the distribution problem and two-stage programming are given. (Author)

Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1973
Accession Number
AD0783025

Entities

People

  • Bernard Berneanu

Organizations

  • Stanford University

Tags

DTIC Thesaurus Topics

  • Computer Programming
  • Computing-Related Activities
  • Convergence
  • Data Science
  • Information Science
  • Interdisciplinary Science
  • Linear Programming
  • Mathematics
  • Monte Carlo Method
  • Sequences

Fields of Study

  • Mathematics

Readers

  • Operations Research