On Wait-and-See Stochastic Linear Programmes: An Application and an Algorithm
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TL;DR
A computational algorithm for estimating the mean objective function value of a stochastic linear programming problem of the passive or wait-and-see type is developed and is found to be computationally effective in that case.
Abstract
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.