, Volume 10, Issue 1, pp 101–123 | Cite as

Analysis and comparisons of some solution concepts for stochastic programming problems

  • R. Caballero
  • E. Cerda
  • M. M. Muñoz
  • L. Rey


The aim of this study is to analyse the resolution of Stochastic Programming Problems in which the objective function depends on parameters which are continuous random variables with a known distribution probability. In the literature on these questions different solution concepts have been defined for problems of these characteristics. These concepts are obtained by applying a transformation criterion to the stochastic objective which contains a statistical feature of the objective, implying that for the same stochastic problem there are different optimal solutions available which, in principle, are not comparable. Our study analyses and establishes some relations between these solution concepts.

Key Words

Stochastic programming optimal solution concepts 

AMS subject classification

90C15 90C30 


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Copyright information

© Sociedad de Estadística e Investigación Operativa 2002

Authors and Affiliations

  • R. Caballero
    • 2
  • E. Cerda
    • 1
  • M. M. Muñoz
    • 2
  • L. Rey
    • 2
  1. 1.Department of Foundations of Economic AnalysisUniversidad Complutense de MadridSpain
  2. 2.Department of Applied Economics (Mathematics)Universidad de MálagaSpain

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