An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information.
European Journal of Operational Research(2019)
摘要
•We propose a framework to solve two-stage problems under distributional ambiguity.•Our method accounts for integer recourse decisions in two-stage problems.•We provide bounds on the approximation quality in case of integer recourse.•Our framework allows to quantify the value of distributional information.
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关键词
Stochastic programming,Robust,Ambiguous,Integer,Recourse
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