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Stochastic Two-Stage Problems

  • Karl Frauendorfer
Chapter
  • 73 Downloads
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 392)

Abstract

Optimization problems, in particular mathematical programs, are characterized by a set of (in particular finite dimensional) alternatives (decisions) and an objective. Decision makers have to select out of this set that alternative (decision), best satisfying the underlying objective. If all data are known prior to the decision process we speak of deterministic optimization (programming); if part of the data remain unknown and available only in a certain probabilistic sense we speak of stochastic optimization (programming). We retain on modeling uncertain data by means of assigning probability distributions to these data. Hence, we take as a premise that a probability distribution is given.

Keywords

Lower Semicontinuous Stochastic Program Convex Optimization Problem Stochastic Independence Recourse Problem 
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-Verlag Berlin Heidelberg 1992

Authors and Affiliations

  • Karl Frauendorfer
    • 1
  1. 1.Institute for Operations ResearchUniversity of ZurichZurichSwitzerland

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