A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2010; you can also visit the original URL.
The file type is
We consider the problem of approximating the expected recourse function for two-stage stochastic programs. Our problem is motivated by applications that have special structure, such as an underlying network that allows reasonable approximations to the expected recourse function to be developed. In this paper, we show how these approximations can be improved by combining them with sample gradient information from the true recourse function. For the case of strictly convex nonlineardoi:10.1287/opre.184.108.40.20652 fatcat:q3clfj5z6nbejjjhnlvs67hxom