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Stochastic Programs with Recourse: Random Recourse Costs Only

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  • Stanley J. Garstka

    (University of Chicago)

Abstract

In this paper we discuss the class of stochastic programs with recourse in which the only randomness present is in the recourse costs. Two economic interpretations are given. We present results which enable one to check if the convex deterministic equivalent program possesses all the "nice" properties of convex programs--feasibility, boundedness, solvability and dualizability. The simple recourse problem is then discussed. The specific form of the convex deterministic equivalent for the case of simple recourse is exhibited.

Suggested Citation

  • Stanley J. Garstka, 1973. "Stochastic Programs with Recourse: Random Recourse Costs Only," Management Science, INFORMS, vol. 19(7), pages 747-762, March.
    • Handle: RePEc:inm:ormnsc:v:19:y:1973:i:7:p:747-762
    DOI: 10.1287/mnsc.19.7.747
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    Cited by:

    1. Artur Alves Pessoa & Michael Poss, 2015. "Robust Network Design with Uncertain Outsourcing Cost," INFORMS Journal on Computing, INFORMS, vol. 27(3), pages 507-524, August.

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