Number: Math 64/93
Author(s): LEPP, Riho.
Title: Discretization method for the solution of single-stage stochastic programs. 14 p.
Language: English
Keywords: Single-stage; discrete convergence.
ABSTRACT. In this paper a discretization approach for the
approximate solution of single-stage stochastic programs is
suggested. Infinite number of constraints, defined as functions
in reflexive Lp-spaces, are replaced by finite number ones.
Convergence of optimal values and solutions of approximate
problems to the initial problem is presented.