A Min-Max-Max-Min Approach to Solving a Stochastic Programming Problem with Simple Recourse
研究在不确定事件发生前做决策、事后补充资源的问题,先建模为最大最小问题,再转化为更易求解的最小最大问题,并利用后者的解辅助前者求解。
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.