R.J-B WETS

A dual strategy for the implementation of the aggregation principle in decision making under uncertainty

with R.T. Rockafellar
Applied Stochastic Models and Data Analysis
8 (1992), 245-255

Content:

A solution method for stochastic programs is proposed on the basis of the aggregation principle, which allows one to find the solution of a stochastic program by aggregating the solutions of individual deterministic scenario problems. The method concentrates on finding good estimates of the dual variables associated with the nonanticipativity constraints.

1992