Models and model value in stochastic programming

DOI10.1007/BF02031741zbMATH Open0836.90122MaRDI QIDQ1904670FDOQ1904670

John R. Birge

Publication date: 7 January 1996

Published in: Annals of Operations Research (Search for Journal in Brave)

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zbMATH Keywords

financequality controlengineering designstochastic program

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Stochastic programming (90C15)

Cites Work

• MSLiP: A computer code for the multistage stochastic linear programming problem
• Chance-constrained programming
• The value of the stochastic solution in stochastic linear programs with fixed recourse
• Parallel processors for planning under uncertainty
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Inequalities for stochastic linear programming problems
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• stochastic quasigradient methods and their application to system optimization^†
• A stochastic programming model for money management
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Stochastic network optimization models for investment planning
• A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Nested decomposition of multistage nonlinear programs with recourse
• Model Building Techniques for the Correction of End Effects in Multistage Convex Programs
• Title not available (Why is that?)
• A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems
• On stochastic programming ii: dynamic problems under risk^∗
• Optimal match-up strategies in stochastic scheduling
• Title not available (Why is that?)

Cited In (12)

• Title not available (Why is that?)
• Optimal decision making under uncertainty with classical stochastic programming
• Title not available (Why is that?)
• Planning logistics operations in the oil industry
• CORRELATIONS IN STOCHASTIC PROGRAMMING: A CASE FROM STOCHASTIC SERVICE NETWORK DESIGN
• Stochastic programming and the option of doing it differently
• On the expected optimal value and the optimal expected value
• Title not available (Why is that?)
• Sustainable vegetable crop supply problem with perishable stocks
• A redundancy detection algorithm for fuzzy stochastic multi-objective linear fractional programming problems
• Designing robust emergency medical service via stochastic programming
• Stochastic programming computer implementations

Uses Software

• MSLiP

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