Introduction to Stochastic Programming

• Main Authors: Birge, John R. (Author), Louveaux, François (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 1997.
• Series: Springer Series in Operations Research and Financial Engineering,
• Subjects: Mathematics.; Operations research.; Decision making.; Probabilities.; Probability Theory and Stochastic Processes.; Operation Research/Decision Theory.

The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. Conversely, it is being applied in a wide variety...

Table of Contents:

• Models
• and Examples
• Uncertainty and Modeling Issues
• Basic Properties
• Basic Properties and Theory
• The Value of Information and the Stochastic Solution
• Solution Methods
• Two-Stage Linear Recourse Problems
• Nonlinear Programming Approaches to Two-Stage Recourse Problems
• Multistage Stochastic Programs
• Stochastic Integer Programs
• Approximation and Sampling Methods
• Evaluating and Approximating Expectations
• Monte Carlo Methods
• Multistage Approximations
• A Case Study
• Capacity Expansion.