| Article ID: | iaor19912120 |
| Country: | Switzerland |
| Volume: | 30 |
| Start Page Number: | 95 |
| End Page Number: | 106 |
| Publication Date: | Mar 1991 |
| Journal: | Annals of Operations Research |
| Authors: | Cipra Tomas |
Three possible approaches to stochastic programming problems defined in time (so that they contain random processes) are described in this paper: (1) an application of the extremal theory of random processes; (2) an exponential penalty model approach related to scenario analysis; (3) a modification of the entropic penalty approach. Explicit results are derived for some special cases.