Challenges in stochastic programming |
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Authors: | Roger J-B Wets |
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Institution: | (1) Department of Mathematics, University of California, 95616 Davis, CA, USA |
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Abstract: | Remarkable progress has been made in the development of algorithmic procedures and the availability of software for stochastic
programming problems. However, some fundamental questions have remained unexplored. This paper identifies the more challenging
open questions in the field of stochastic programming. Some are purely technical in nature, but many also go to the foundations
of designing models for decision making under uncertainty.
Research supported by grants of the National Science Foundation and the US-Israel Binational Science Foundation. |
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Keywords: | Stochastic programming Decisions under uncertainty Chance-constraints Probabilistic constraints Distribution problem Markowitz portfolio model |
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