An Illustrative Survey of Existing Approaches in Stochastic Two-Stage Programming

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


As mentioned in chapter I the formulation of stochastic programming problems goes back to the mid 50s (Dantzig, Beale, Tintner). Since then a lot of research activities have resulted in developments of approaches for solving these problems. We intend next to focus on some of existing approaches and outline their main characteristica. The motivation to do this lies in the variety of stochastic two-stage programming problems entailing different and challenging features that have been exploited within the last decades. Some of the approaches discussed below have already been treated in Ermoliev and Wets 1988 [42], and even much more detailed therein than we will do here; however, the achieved progress within stochastic programming in the last five years have raised new ideas.


Importance Sampling Master Problem Approximate Problem Stochastic Linear Program Stochastic Programming Problem 
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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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