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A Min-Max-Max-Min Approach to Solving a Stochastic Programming Problem with Simple Recourse

Author

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  • D. J. White

    (Faculty of Economics and Social Studies, University of Manchester, Manchester M13 9PL, United Kingdom)

Abstract

This paper studies a problem of determining the level of certain decisions, taken prior to certain events taking place, and the subsequent additional resource procurement decisions needed to implement the initial program once these events have materialised. The problem is formulated first of all as a max-min problem, and then as an equivalent min-max problem. The min-max problem is easier to solve than the max-min problem. The information provided in solving the min-max problem may be used to facilitate the solution of the max-min problem.

Suggested Citation

  • D. J. White, 1992. "A Min-Max-Max-Min Approach to Solving a Stochastic Programming Problem with Simple Recourse," Management Science, INFORMS, vol. 38(4), pages 540-554, April.
    • Handle: RePEc:inm:ormnsc:v:38:y:1992:i:4:p:540-554
    DOI: 10.1287/mnsc.38.4.540
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    Cited by:

    1. Ryan, Michael J., 1999. "Intervening duality and bargaining with a farmer-landowner example," European Journal of Operational Research, Elsevier, vol. 113(3), pages 688-699, March.
    2. Ryan, Michael J., 1995. "Purposive contradiction, intervening duality and the nature of probability," European Journal of Operational Research, Elsevier, vol. 86(2), pages 366-373, October.
    3. Judith Behrens & Holger Patzelt, 2016. "Corporate Entrepreneurship Managers’ Project Terminations: Integrating Portfolio–Level, Individual–Level, and Firm–Level Effects," Entrepreneurship Theory and Practice, , vol. 40(4), pages 815-842, July.

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