A solution procedure for the two-stage stochastic program with simple recourse
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TL;DR
For the stochastic program with simple recourse a solution procedure is given which generates a finite sequence of linear ‘substitutive-programs’ so that, finally either the initially given problem is proved to be unsolvable or an optimal solution for it is given by the optimal solution of the ‘ subst itutive program’.
Abstract
For the stochastic program with simple recourse a solution procedure is given which generates a finite sequence of linear ‘substitutive-programs’ so that, finally either the initially given problem is proved to be unsolvable or an optimal solution for it is given by the optimal solution of the ‘substitutive program’.