Unformatted text preview: IE 495 Lecture 13 Bounds in Stochastic Programming
Prof. Jeff Linderoth March 3, 2003
March 3, 2003 Stochastic Programming Lecture 14 Slide 1 Outline • Review
• Bounds Distribution Problem
Lower BoundJensen's inequality
Tightening the Lower Bound
A numerical example March 3, 2003 Stochastic Programming Lecture 14 Slide 2 Review Homework not due until Wed.
No homework assignment until after break.
You're welcome! (especially those of you taking your qualifying exam). • Who wants to use high-performance computing?
• What is an SMP machine?
• What is Condor?
• Where is the fastest computer in the world located? March 3, 2003 Stochastic Programming Lecture 14 Slide 3 Bounds
• Think of the case in which we are trying to solve a stochastic
program containing random variables that are drawn from a
min Q(x) ≡ Eω Q(x, ω ) = Q(x, ω )dF (ω )
Ω • Keep in mind that Ω is one of those fancy Lebesgue-Stieltjes
integrals, so it...
View Full Document
- Spring '08
- Optimization, stochastic programming