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The Value of Information and the Stochastic Solution

  • John R. BirgeEmail author
  • François Louveaux
Chapter
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)

Abstract

Stochastic programs have the reputation of being computationally difficult to solve. Many people faced with real-world problems are naturally inclined to solve simpler versions. Frequently used simpler versions are, for example, to solve the deterministic program obtained by replacing all random variables by their expected values or to solve several deterministic programs, each corresponding to one particular scenario, and then to combine these different solutions by some heuristic rule.

Keywords

Stochastic Program Perfect Information Reference Scenario Deterministic Problem Stochastic Solution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.Booth School of BusinessUniversity of ChicagoChicagoUSA
  2. 2.Department of Business AdministrationUniversity of NamurNamurBelgium

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