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

Management Science · 1992 · Volume 38 · Issue 4

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.

Keywords

stochastic programming, algorithm, saddle point

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