W.C. Tang, H. Rosen, et al.
SPIE Optics, Electro-Optics, and Laser Applications in Science and Engineering 1991
Stochastic multi-stage linear programs are rarely used in practical applications due to their size and complexity. Using a general matrix to aggregate the constraints of the deterministic equivalent yields a lower bound. A similar aggregation in the dual space provides an upper bound on the optimal value of the given stochastic program. Jensen's inequality and other approximations based on aggregation are a special case of the suggested approach. The lower and upper bounds are tightened by updating the aggregating weights.
W.C. Tang, H. Rosen, et al.
SPIE Optics, Electro-Optics, and Laser Applications in Science and Engineering 1991
Heng Cao, Haifeng Xi, et al.
WSC 2003
Salvatore Certo, Anh Pham, et al.
Quantum Machine Intelligence
Daniel J. Costello Jr., Pierre R. Chevillat, et al.
ISIT 1997