Response Surface Analysis of Two-Stage Stochastic Linear Programming with Recourse.

Abstract

This research investigates a special class of stochastic linear programs known as two-stage stochastic linear programming with relatively complete and fixed recourse. These models characterize a two-phase process where the first- stage decision (itself subject to a separate set of first-stage linear constraints) allocates a set of resources to the second-stage linear program prior to the realization of random variables affecting second-stage resource availability. Since the second-stage decision deterministically follows both first-stage allocation and random variable realization, the first-stage variables constitute the only true decision. The expected cost of the two-stage recourse problem is also a piecewise convex function of the first-stage decision variables, thus allowing a global optimal solution that minimizes the total expected cost.

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Document Details

Document Type
Technical Report
Publication Date
Oct 23, 1995
Accession Number
ADA308904

Entities

People

  • Thomas G. Bailey

Organizations

  • Air Force Institute of Technology

Tags

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  • Human Systems
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Computational Science
  • Data Science
  • Experimental Design
  • Information Processing
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  • Knowledge Management
  • Linear Programming
  • Mathematical Models
  • Mathematical Programming
  • Monte Carlo Method
  • Operations Research
  • Random Variables
  • Simplex Method
  • Statistical Algorithms
  • Statistical Analysis
  • Statistical Samples
  • Surveys

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  • Mathematics

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