Publication result detail

Theoretical Framework for Stochastic Programming

NOVOTNÝ, J.

Original Title

Theoretical Framework for Stochastic Programming

English Title

Theoretical Framework for Stochastic Programming

Type

Paper in proceedings (conference paper)

Original Abstract

This paper aims to present a theoretical framework for stochastic programming models, i.e. for optimization models that involve uncertainty. The framework is characterized by two distinctive features: it is based on the notions of a mathematical program and a probability space. Based on these, it allows the common stochastic programming models to be rigorously derived, and hopefully well understood. Such approach is not common in the literature (See Reference), the stochasticity is generally introduced to a deterministic program after it has been build.

English abstract

This paper aims to present a theoretical framework for stochastic programming models, i.e. for optimization models that involve uncertainty. The framework is characterized by two distinctive features: it is based on the notions of a mathematical program and a probability space. Based on these, it allows the common stochastic programming models to be rigorously derived, and hopefully well understood. Such approach is not common in the literature (See Reference), the stochasticity is generally introduced to a deterministic program after it has been build.

Keywords

Two-stage stochastic programming, Separable function, Wait-and-see, Here-and-now, Probability

Key words in English

Two-stage stochastic programming, Separable function, Wait-and-see, Here-and-now, Probability

Authors

NOVOTNÝ, J.

Released

24.06.2009

Location

Brno

ISBN

978-80-214-3884-2

Book

MENDEL 2009

Edition

MENDEL

Pages from

239

Pages to

246

Pages count

8

BibTex

@inproceedings{BUT93497,
  author="Jan {Novotný}",
  title="Theoretical Framework for Stochastic Programming",
  booktitle="MENDEL 2009",
  year="2009",
  series="MENDEL",
  number="1",
  pages="239--246",
  address="Brno",
  isbn="978-80-214-3884-2"
}