Abstract
The paper surveys the basic results and nonresults for decision rules in stochastic programming. It exhibits some of the difficulties encountered when trying to restrict the class of acceptable rules to those possessing specific functional forms. A liberal dosage of examples is provided which illustrate various cases. The treatment is unified by making use of the equivalence of various formulations which have appeared in the literature. An appendix is devoted to the P-model for stochastic programs with chance constraints.
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Garstka, S.J., Wets, R.J.B. On decision rules in stochastic programming. Mathematical Programming 7, 117–143 (1974). https://doi.org/10.1007/BF01585511
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DOI: https://doi.org/10.1007/BF01585511