Challenges in stochastic programming

Challenges in stochastic programming

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Article ID: iaor1998442
Country: Netherlands
Volume: 75
Issue: 2
Start Page Number: 115
End Page Number: 135
Publication Date: Nov 1996
Journal: Mathematical Programming
Authors:
Keywords: probability
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.

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