Books and collections of papers on Stochastic Programming (primary classification: 90C15)
A. The known ones in English, including translations
Archetti, F., G. Di Pillo and M. Lucertini (eds.), Stochastic Programming, LN in Control and Information Science 76, Springer, Berlin, 1986.
Andreatta, G.B., G. Salinetti and R.J-B. Wets (eds.), Stochastic Programming, Annals of Operations Research 56(1995).
Birge, J.R., C. Edirisinghe and W.T. Ziemba (eds.), Research in Stochastic Programming, Annals of Operations Research (1999), forthcoming.
Birge, J.R. and F. Louveaux, Introduction to Stochastic Programming, Springer, New York, 1997.
Birge, J.R., and R.J-B Wets (eds.), Stochastic Programming, Annals of Operations Research 30 and 31 (1991).
Bouza, C. (ed.), Stochastic Programming: The State of the Art, Revista Investigacion Operational 14(2–3)(1993).
Dempster, M.A.H. (ed.), Stochastic Programming, Academic Press, London, 1980.
Dempster, M.A.H. (ed.), Proceedings of the IIASA Task Force Meeting in Stochastic Optimization, Stochastics 10(3–4)(1983).
Ermoliev, Yu. and R.J-B Wets (eds.), Numerical Techniques for Stochastic Optimization Problems, Springer, Berlin, 1988.
Frauendorfer, K., Stochastic Two-Stage Programming, LN in Economics and Math. Systems 392, Springer, Berlin, 1992.
Guddat, J., F. Guerra, K. Tammer and K. Wendler, Multiobjective and Stochastic Optimization Based on Parametric Optimization, Akademie-Verlag, Berlin, 1985.
Hellwig, G., P. Kall and P. Abel (eds.), Statistical Methods for Decission Processes, Daimler Benz AG, Stuttgart-Möhringen, 1994.
Higle, J. and S. Sen, Stochastic Decomposition. A Statistical Method for Large-Scale Stochastic Linear Programming, Kluwer, Dordrecht, 1996.
Infanger, G., Planning under Uncertainty: Solving Large-Scale Stochastic Linear Programs, Boyd and Fraser, Danvers, 1994.
Kall, P., Stochastic Linear Programming, Springer, Berlin, 1976.
Kall, P. and A. Prékopa (eds.), Recent Results in Stochastic Programming, LN in Economics and Math. Systems 179, Springer, Berlin, 1980.
Kall, P. and S.W. Wallace, Stochastic Programming, Wiley, Chichester, 1994.
Kibzun, A.I. and Y.S. Kan, Stochastic Programming Problems with Probability and Quantile Functions, Wiley, Chichester, 1996.
King, A.J. (ed.), Approximation and Computation in Stochastic Programming, Mathematical Programming B75, No. 2 (1996).
Klein Haneveld, W.K., Duality in Stochastic Linear and Dynamic Programming, LN in Economics and Math. Systems 274, Springer, Berlin, 1985.
Kolbin, V.V., Stochastic Programming, Reidel, Dordrecht, 1977.
Marti, K., Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs, LN in Economics and Math. Systems 299, Springer, Berlin, 1988.
Marti, K. (ed.), Stochastic Optimization. Numerical Methods and Technical Applications, LN in Economics and Math. Systems 379, Springer, Berlin, 1992.
Marti, K. and P. Kall (eds.), Stochastic Optimization: Numerical Techniques and Engineering Applications, LN in Economics and Math. Systems 423, Springer, Berlin, 1995.
Marti, K. and P. Kall (eds.), Stochastic Programming Methods and Technical Applications, LN in Economics and Math. Systems 458, Springer, Berlin, 1998.
Mayer, J., Stochastic Linear Programming Algorithms: A Comparison Based on Model Management Systems, Gordon and Breach, 1998.
Pflug, G.Ch., Optimization of Stochastic Models. The Interface between Simulation and Optimization, Kluwer, Dordrecht, 1996.
Pflug, G.Ch. and A. Ruszczyński (eds.), 13th EURO Summer Institute: Stochastic Optimization, EJOR 101(2) (1997).
Prékopa, A., Stochastic Programming, Kluwer, Dordrecht and Academiai Kiado, Budapest, 1995.
Prékopa, A. (ed.), Studies in Applied Stochastic Programming, MTA SzTAKI, Budapest, 80/1978 and 167, 1985.
Prékopa, A. and R.J-B Wets (eds.), Stochastic Programming 84, Math. Progr. Study 27 and 28 (1986).
Rachev, S.T. and W. Römisch (eds.), Stochastic Programming: Stability, Numerical Methods and Applications, J. of Computational and Applied Mathematics 56(1994)1–20.
Rubinstein, R.Y. and A. Shapiro, Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method, Wiley, New York, 1993.
Sengupta, J.K., Stochastic Programming: Methods and Applications, North-Holland, Amsterdam, 1972.
Sengupta, J.K., Optimal Decisions under Uncertainty, LN in Economics and Math. Systems 193, Springer, Berlin, 1981.
Sengupta, J.K., Decision Models in Stochastic Programming: Operational Methods of Decision Making under Uncertainty, North-Holland Series in System Science and Engineering, vol. 7, New York, 1982.
Stancu-Minasian, I.M., Stochastic Programming with Multiple Objective Functions, Editura Academiei and Reidel, Dordrecht, 1984.
Stougie, L., Design and Analysis of Algorithms for Stochastic Integer Programming, CWI Tract. 37, Stichting Math. Centrum, Amsterdam, 1987.
Van der Vlerk, M.H., Stochastic Programming with Integer Recourse, Labyrint, 1995.
Vajda, S., Probabilistic Programming, Academic Press, New York, 1972.
Vladimirou, H., S.A. Zenios and R.J-B Wets (eds.), Models for Planning under Uncertainty, Annals of Operations Research 59(1995).
Wallace, S.W., J. Higle and S. Sen (eds.), Stochastic Programming, Algorithms and Models, Annals of Operations Research 64(1996).
B. Books in other languages (whose translation is not listed under A)
Abel, P., Stochastische Optimierung bei partieller Information, Math. Systems in Economics 96, Atheneum/Hein/Hanstein, Königstein/Ts, 1984 (in German).
Abel, T. and R. Thiel, Mehrstufige stochastische Produktionsmodelle — Eine praxisorientierte Darstellung mit programmierten Beispielen, Fischer Verlag, Frankfurt am Main, 1981 (in German).
Arnold, K.-P., Stochastische Transportprobleme, Dr. Kovac, Hamburg, 1987 (in German).
Böttcher, J., Stochastische lineare Programme mit Kompensation, Athenaum, Frankfurt am Main, 1989 (in German).
Dupačova, J., Stochastic Programming, MSCSR, Prague, 1986 (in Czech).
Ermoliev, Yu.M., Methods of Stochastic Programming, Nauka, Moscow, 1976 (in Russian).
Ermoliev, Yu.M. and A.I. Yastremski, Stochastic Models and Methods in Economic Planning, Nauka, Moscow, 1979 (in Russian).
Faber, M.M., Stochastisches Programmieren, Physica-Verlag, Würzburg-Wien, 1970 (in German).
Kaniovski, Yu.M., P.S. Knopov and Z.V. Nekrylova, Limit Theorems for Stochastic Programming Processes, Naukova dumka, Kiev, 1980 (in Russian).
Kovalenko, I.N., Probabilistic Calculation and Optimization, Naukova dumka, Kiev, 1989 (in Russian).
Marti, K., Approximationen stochastischer Optimierungsprobleme, Math. Systems in Economics 43, A. Hain, Königstein/Ts., 1979 (in German).
Mirzoakhmedov, F., Mathematical Models and Methods for Production Control Taking Random Factors into Account, Naukova dumka, Kiev, 1991 (in Russian).
Mirozakhmedov, F. and M.V. Mikhalevich, Applied Aspects of Stochastic Programming, Maorif, Dushanbe, 1989 (in Russian).
Rembold, J.T., Stochastische lineare Optimierung. Mathematical Systems in Economics, No. 31, A. Hain, Meisenheim am Glan, 1977 (in German).
Schneeweiss, A.H., Entscheidungskriterien bei Risiko, Springer, Berlin, 1967 (in German).
Uryasev, S.P., Adaptive Algorithms of Stochastic Optimization and Game Theory, Nauka, Moscow, 1990 (in Russian).
Wang, J., Stochastic Programming, Chinese Presses, Beijing, 1990 (in Chinese).
Werner, M., Stochastische lineare Optimierungsmodelle, Akademische Verlagsgesellschaft, Frankfurt am Main, 1973 (in German).
Wolf, H., Entscheidungsfindung bei der stochastischen linearen Optimierung durch Entscheidungsmodelle mit mehrfacher Zielsetzung, Math. Systems in Economics 84, Atheneum/Hein/Hanstein, Königstein/Ts., 1983 (in German).
Yastremski, A.I., Stochastic Models of Mathematical Economics, Lybid, Kiev, 1983 (in Russian).
Yudin, D.B., Mathematical Methods of Management under Incomplete Information (Problems and Methods of Stochastic Programming), Soviet Radio, Moscow, 1974 (in Russian).
Yudin, D.B., Problems and Methods of Stochastic Programming, Soviet Radio, Moscow, 1979 (in Russian).
C. Books and collections of papers with secondary classification 90C15
Arkin, V.I., and I.V. Estigneev, Stochastic Models of Control and Economic Dynamics, Nauka, Moscow, 1979 (in Russian). English translation by E.A. Medova-Dempster and M.A.H. Dempster, Academic Press, London, 1987.
Arkin, VI., A. Shiraev and R. Wets (eds.), Stochastic Optimization, Proceedings of the International Conference, Kiev, 1984, LN in Control and Information Sciences 81, Springer, Berlin, 1986.
Bäck, T., Evolutionary Algorithms in Theory and Practice, Clarendon Press/Oxford University Press, New York, 1996.
Batukhtin, V.D. and L.A. Maboroda, Optimization of Discontinuous Functions, Nauka, Moscow, 1984 (in Russian).
Bodner, V.A., N.E. Rodnishchev and E.P. Yurikov, Optimization of Terminal Stochastic Systems, Mashinostroenie, Moscow, 1987 (in Russian).
Cairoli, R. and R.C. Dalang, Sequential Stochastic Optimization, Wiley, New York, 1996.
Christer, A.H., S. Osaki and L.C. Thomas (eds.), Stochastic Modelling in Innovative Manufacturing, LN in Economics and Math. Systems 445, Springer, Berlin, 1997.
Dantzig, G.B., M.A.H. Dempster and M. Kallio (eds.), Large-Scale Linear Programming, vols. 1 and 2, IIASA, Laxenburg, 1981.
Davis, M.H.A., Markov Models and Optimization, Chapman & Hall, London, 1993.
Dinkelbach, W., Entscheidungsmodelle, W. de Gruyter, Berlin, 1982 (in German).
Dynkin, E.B. and A.A. Yushkevich, Controllable Markov Processes and their Applications, Nauka, Moscow, 1975 (in Russian).
Gupal, A.M., Stochastic Methods for Solving Nonsmooth Extremal Problems, Naukova dumka, Kiev, 1979 (in Russian).
Ivashchenko, P.A., Adaptation in Economics, Vishcha Shkola, Kharkov, 1986 (in Russian).
Jacobs, O.L.R., M.H.A. Davis, M.A.H. Dempster, C.J. Harris and P.C. Parks (eds.), Analysis and Optimization of Stochastic Systems, Academic Press, London, 1980.
Katkovnik, V.Ya., Numerical Methods for Solving Deterministic and Stochastic Minimax Problems, Naukova dumka, Kiev, 1979 (in Russian).
Kovalenko, I.N. and A.A. Nakonechny, Approximate Calculation and Optimization of Reliability, Naukova dumka, Kiev, 1989 (in Russian).
Kulkarni, V.G., Modeling and Analysis of Stochastic Systems, Chapman & Hall, London, 1995.
Marti, K. (ed.), Structural Reliability and Stochastic Structural Optimization, Math. Methods Oper. Res. 46, No. 3, Physica-Verlag, Heidelberg, 1997 (in German).
Mikhalevich, V.S., A.M. Gupal and V.I. Norkin, Methods of Nonconvex Optimization, Nauka, Moscow, 1987 (in Russian).
Mockus, J., W. Eddy, A. Mockus, L. Mockus and G. Reklaitis, Bayesian Heuristic Approach to Discrete and Global optimization, Nonconvex Optimization and its Applications 17, Kluwer, Dordrecht, 1997.
Mockus, J., Bayesian Approach to Global Optimization. Mathematics and its Applications (Soviet Series) 37, Kluwer, Dordrecht, 1989.
Mihoc, G. and I. Nadejde, Mathematical Programming: Parametric, Nonlinear and Stochastic, Edutura Stiintifica, Bucurest, 1966 (in Rumanian).
Nurminsky, E.A., Numerical Methods for Solution of Deterministic and Stochastic Minimax Problems, Naukova dumka, Kiev, 1979 (in Russian).
Osaki S., D.N.P. Murthy and R.J. Wilson (eds.), Stochastic Models in Engineering, Technology and Management, Papers from the Australian-Japan Workshop held on the Gold Coast, July 14–16, 1994, Math. Comput. Modelling 22, No. 10–12, Pergamon Press, Exeter, 1995.
Rastrigin, L.A., Adaptation of Complex Systems, Zinatne, Riga, 1981 (in Russian).
Slowinski, R. and J. Teghem (eds.), Stochastic versus Fuzzy Approaches to Multiobjective Mathematical Programming under Uncertainty, Theory and Decision Library, Series D: System Theory, Knowledge Engineering and Problem Solving 6, Kluwer, Dordrecht, 1990.
Tarasenko, G.S., Stochastic Optimization in the Soviet Union. Random Search Algorithms, Monograph Series on Soviet Union, Delphic Associates, Falls Church, 1985.
Woodruff, D.L. (ed.), Advances in Computational and Stochastic Optimization, Logic Programming, and Heuristic Search, Kluwer, Boston, 1998.
Yin, G. and Q. Zhang (eds.), Recent Advances in Control and Optimization of Manufacturing Systems, LN in Control and Information Science 214, Springer, London, 1996.
Zavrieva, M.K., A Combined Penalty and Stochastic Quasigradient Method for the Search for a Connected Maximin, Akad. Nauk SSSR, Vychisl. Tsentr, Moscow, 1989 (in Russian).
Zenios, S.A. and W.T. Ziemba (eds.), Financial Modeling, Focused Issue, Manag. Sci. 38 (No. 11)(1992).
Zhigljavsky, A.A. (ed.), Stochastic Optimization, Acta Appl. Math. 33, No. 1, Kluwer, Dordrecht, 1993.
Zhigljavsky, A.A., Theory of Global Random Search. Mathematics and its Applications (Soviet Series) 65, Kluwer, Dordrecht, 1991.
Zielinsky, R. and P. Neumann, Stochastic Methods in the Search for the Minimum of a Function, Mathematical Research 16, Akademie-Verlag, Berlin, 1983 (in German).
Ziemba, W.T. and J.M. Mulvey (eds.), Worldwide Asset and Liability Management, Cambridge University Press, 1998.
Ziemba, W.T. and R.G. Vickson (eds.), Stochastic Optimization Models in Finance, Academic Press, New York, 1975.
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Preface. Annals of Operations Research 85, 0 (1999). https://doi.org/10.1023/A:1018986230846
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DOI: https://doi.org/10.1023/A:1018986230846