General properties of two-stage stochastic programming problems with probabilistic criteria
Two-stage stochastic programming problems describe a wide class of economic and technical systems in which the decision-making procedure is carried out sequentially in two stages. In this paper, the authors consider two-stage stochastic programming problems with the probabilistic and quantile criteria. The probabilistic criterion represents the probability that the loss function will not exceed a certain fixed level and the quantile criterion describes the minimum level of the loss function that will not be exceeded with a given probability. They give sufficient conditions for the measurability of the loss function and for the semicontinuity of the criterion functions and sufficient conditions for the existence of optimal strategies. The authors give also two approaches to the two-stage stochastic programming problems, namely, the confidence method and the method of sample approximations.
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