连续随机变量的一种离散逼近方法及其在随机规划中的应用

A Discret Approximation Method for Continuous Random Variables and its Application on Stochastic Programming

逼近算法是解随机规划问题的有效方法,本文用一种新的方法构造离散随机变量序列,使其收敛到连续随机变量,给出了一种解二阶段随机规划问题的逼近方法。

The approximation algorithm is an effective method for solving stochastic programming problems. This paper presents a new method to contract a discret random variable to converge in a coutinuous random variable. And then gives on approximation method for solving the two-stage stochastic programming problems.