Computing Bounds for Stochastic Programming Problems by Means of a Generalized Moment Problem
John R. BirgeDepartment of Industrial and Operations Engineering, 1205 Beal Avenue, The University of Michigan, Ann Arbor, Michigan 48109Roger J.‐B. WetsDepartment of Mathematics, University of California, Davis, California 95616
1987en
ABI
Abstract
Bounds on the expected value of a convex function are obtained by means of an approximating generalized moment problem. Numerical implementation is discussed in the context of stochastic programming problems.
Identifiers
Citations and references
Cited by 20 references