Introduction to Stochastic Programming

  • John R. Birge
  • François Louveaux
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)

Table of contents

  1. Front Matter
    Pages i-xxv
  2. Models

    1. Front Matter
      Pages 1-1
    2. John R. Birge, François Louveaux
      Pages 3-54
    3. John R. Birge, François Louveaux
      Pages 55-100
  3. Basic Properties

    1. Front Matter
      Pages 101-101
    2. John R. Birge, François Louveaux
      Pages 103-161
    3. John R. Birge, François Louveaux
      Pages 163-177
  4. Solution Methods

    1. Front Matter
      Pages 179-179
    2. John R. Birge, François Louveaux
      Pages 181-263
    3. John R. Birge, François Louveaux
      Pages 265-287
    4. John R. Birge, François Louveaux
      Pages 289-338
  5. Approximation and Sampling Methods

    1. Front Matter
      Pages 339-339
    2. John R. Birge, François Louveaux
      Pages 341-387
    3. John R. Birge, François Louveaux
      Pages 389-415
    4. John R. Birge, François Louveaux
      Pages 417-448
  6. Back Matter
    Pages 449-485

About this book

Introduction

The aim of stochastic programming is to find optimal decisions in problems  which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. At the same time, it is now being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems.

In this extensively updated new edition there is more material on methods and examples including several new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods including approximate dynamic programming, robust optimization and online methods.

The book is highly illustrated with chapter summaries and many examples and exercises. Students, researchers and practitioners in operations research and the optimization area will find it particularly of interest.



Review of First Edition:

"The discussion on modeling issues, the large number of examples used to illustrate the material, and the breadth of the coverage make 'Introduction to Stochastic Programming' an ideal textbook for the area." (Interfaces, 1998) 

 

 

Keywords

Stochastic optimization Two-Stage Linear Recourse Problems decision making under uncertainty dynamic programming

Authors and affiliations

  • John R. Birge
    • 1
  • François Louveaux
    • 2
  1. 1., Booth School of BusinessUniversity of ChicagoChicagoUSA
  2. 2., Department of Business AdministrationUniversity of NamurNamurBelgium

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4614-0237-4
  • Copyright Information Springer Science+Business Media, LLC 2011
  • Publisher Name Springer, New York, NY
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-1-4614-0236-7
  • Online ISBN 978-1-4614-0237-4
  • Series Print ISSN 1431-8598
  • About this book