References

[boland2018]

Boland, N., Christiansen, J., Dandurand, B., Eberhard, A., Linderoth, J., Luedtke, J.,Oliveira, F.: Combining progressive hedging with a Frank-Wolfe method to compute Lagrangian dual bounds in stochastic mixed-integer programming. SIAM Journal on Optimization 28(2), 1312–1336 (2018)

[gade2016]

Gade, D., Hackebeil, G., Ryan, S., Watson, J.P., Wets, R., Woodruff, D.: Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programming. Mathematical Programming 157(1), 47–67 (2016)

[birge2011]

Birge, J.R., Louveaux, F.: Introduction to Stochastic Programming, Second Ed. Springer Verlag (2011)

[mmw1999]

Mak, W.K., Morton,D.P., Wood, R.K.: Monte Carlo bounding techniques for determining solution quality in stochastic programs. Operations Research Letters 24(1-2), 47-56 (1999)

[bm2011]

Bayraksan, G., Morton,D.P.: A Sequential Sampling Procedure for Stochastic Programming. Operations Research 59(4), 898-913 (2011)

[bpl2012]

Bayraksan, G., Pierre-Louis, P.: Fixed-Width Sequential Stopping Rules for a Class of Stochastic Programs, SIAM Journal on Optimization 22(4), 1518-1548 (2012)