Abstract
We discuss issues pertaining to the domination from above of the second-stage recourse function of a stochastic linear program and we present a scheme to majorize this function using a simpler sublinear function. This majorization is constructed using special geometrical attributes of the recourse function. The result is a proper, simplicial function with a simple characterization which is well-suited for calculations of its expectation as required in the computation of stochastic programs. Experiments indicate that the majorizing function is well-behaved and stable.
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Dulá, J.H. Designing a majorization scheme for the recourse function in two-stage stochastic linear programming. Comput Optim Applic 1, 399–414 (1993). https://doi.org/10.1007/BF00248764
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DOI: https://doi.org/10.1007/BF00248764