A Dual Solution Procedure for Quadratic Stochastic Programs with Simple Recourse
Authors: Rockafellar RT, Wets RJ-B
Publication Year: 1983
Reference: IIASA Collaborative Paper CP-83-017
Abstract
We exhibit a dual of a stochastic program with simple recourse -- with random parameters in the technology matrix and the right-hand sides, and with quadratic recourse costs -- that is essentially a deterministic quadratic program except for some simple stochastic upper bounds. We then describe a solution procedure for problems of this type based on a finite element representation of the dual variables.