Expected recourse functions in linear two-stage stochastic programs with mixed-integer second stage are approximated by estimating the underlying probability distribution via empirical measures. Under mild conditions, almost sure uniform convergence of the empirical means to the original expected recourse function is established.
All Science Journal Classification (ASJC) codes
- Management Science and Operations Research
- Empirical Measures
- Stochastic Programming
- Uniform Convergence
- Value Functions of Mixed-Integer Linear Programs