Ruixiong Tian, Zhe Xiang, et al.
Qinghua Daxue Xuebao/Journal of Tsinghua University
Stochastic multi-stage linear programs are rarely used in practical applications due to their size and complexity. Using a general matrix to aggregate the constraints of the deterministic equivalent yields a lower bound. A similar aggregation in the dual space provides an upper bound on the optimal value of the given stochastic program. Jensen's inequality and other approximations based on aggregation are a special case of the suggested approach. The lower and upper bounds are tightened by updating the aggregating weights.
Ruixiong Tian, Zhe Xiang, et al.
Qinghua Daxue Xuebao/Journal of Tsinghua University
W.C. Tang, H. Rosen, et al.
SPIE Optics, Electro-Optics, and Laser Applications in Science and Engineering 1991
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CCS 2024
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SPIE Photomask Technology + EUV Lithography 2009