Date of Original Version

1995

Type

Technical Report

Rights Management

All Rights Reserved

Abstract or Description

Abstract: "This paper considers stochastic linear programming models for production planning where cost coefficient and RHS term uncertainties are represented by finite discrete probability distribution functions. The solution of the two-stage fixed recourse problem is considered, for which a sensitivity-based successive disaggregation algorithm is outlined. The bounding properties of the aggregate sub-problems are examined in the context of the disaggregation algorithm. Illustrative examples of the two-stage algorithm are presented."

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