| Article ID: | iaor19912129 |
| Country: | Switzerland |
| Volume: | 31 |
| Start Page Number: | 347 |
| End Page Number: | 370 |
| Publication Date: | Mar 1991 |
| Journal: | Annals of Operations Research |
| Authors: | Gaivoronski Alexei A. |
The stochastic programming problem is considered in the case of a distribution function with partially known random parameters. A minimax approach is taken, and a numerical method is proposed for problems when information on the distribution function can be expressed in the form of finitely many moment constraints. Convergence is proved and results of numerical experiments are reported.