In this paper, we propose a new method to compute lower bounds on the optimal objective value of a stochastic program and show how this method can be used to construct separable approximations to the recourse functions. We show that our method yields tighter lower bounds than Jensen's lower...

For network revenue management problems, it is known that the bid prices computed through the so-called deterministic linear program are asymptotically optimal as the capacities on the flight legs and the expected numbers of product requests increase linearly with the same rate. In this paper,...

We consider an inventory distribution system consisting of one warehouse and multiple retailers. The retailers face random demand and are supplied by the warehouse. The warehouse replenishes its stock from an external supplier. The objective is to minimize the total expected replenishment,...