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Modelling support for stochastic programs

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Abstract

In many decision problems, some of the factors considered are subject to significantuncertainty, randomness, or statistical fluctuations: these circumstances motivate the studyof stochastic models. The paper is intended to provide an overview of modelling toolsavailable for the development, analysis, solution and maintenance of stochastic programs.A brief introduction to some important model forms is followed by a review of suitablemodelling and computational environments, including algebraic modelling languages.Aspects of problem description, solution methodology, report generation, and visual problemrepresentation, as well as certain auxiliary tools and diagnostics are discussed. An extensivelist of references is provided, to give further pointers into a challenging field of greatpractical importance.

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  1. H.I. Gassmann
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Gassmann, H. Modelling support for stochastic programs. Annals of Operations Research 82, 107–138 (1998). https://doi.org/10.1023/A:1018998216791

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