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Analysis and comparisons of some solution concepts for stochastic programming problems

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Abstract

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.

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Authors and Affiliations

  1. Department of Foundations of Economic Analysis, Universidad Complutense de Madrid, Spain

    E. Cerda

  2. Department of Applied Economics (Mathematics), Universidad de Málaga, Spain

    R. Caballero, M. M. Muñoz & L. Rey

Authors
  1. R. Caballero
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  2. E. Cerda
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  3. M. M. Muñoz
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  4. L. Rey
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Additional information

The work of these authors was supported byMinisterio de Ciencia y Tecnología andConsejería de Educación y Ciencia, Junta de Andalucía.

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Caballero, R., Cerda, E., Muñoz, M.M. et al. Analysis and comparisons of some solution concepts for stochastic programming problems. Top 10, 101–123 (2002). https://doi.org/10.1007/BF02578943

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  • DOI: https://doi.org/10.1007/BF02578943

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