On Wait-And-See Stochastic Linear Programs: An Application and Algorithm

01/06/1977

On Wait-And-See Stochastic Linear Programs: An Application and Algorithm

Patel Nitin R

Working Papers

  • facebook
  • linkedin
  • twitter
  • whatsapp

This paper develops a computational algorithm for estimating the mean objective function value of a stochastic linear programming problem of the passive or wait-and-see type. The algorithm is applied to a problem connected with design of a 'milk-grid' in India and is found to be computationally effective in that case. It is most likely to be useful in the case of fairly large LP problems with a few (<10) stochastic right hand side variables.

IIMA