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Stochastic Programming

Modeling Decision Problems Under Uncertainty

  • Willem K. Klein Haneveld
  • Maarten H. van der Vlerk
  • Ward Romeijnders
Textbook

Part of the Graduate Texts in Operations Research book series (GRTOPR)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
    Pages 1-12
  3. Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
    Pages 13-22
  4. Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
    Pages 23-66
  5. Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
    Pages 67-113
  6. Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
    Pages 115-138
  7. Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
    Pages 139-161
  8. Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
    Pages 163-179
  9. Willem K. Klein Haneveld, Maarten H. van der Vlerk, Ward Romeijnders
    Pages 181-212
  10. Back Matter
    Pages 213-249

About this book

Introduction

This book provides an essential introduction to Stochastic Programming, especially intended for graduate students. The book begins by exploring a linear programming problem with random parameters, representing a decision problem under uncertainty. Several models for this problem are presented, including the main ones used in Stochastic Programming: recourse models and chance constraint models. The book not only discusses the theoretical properties of these models and algorithms for solving them, but also explains the intrinsic differences between the models. In the book’s closing section, several case studies are presented, helping students apply the theory covered to practical problems.
The book is based on lecture notes developed for an Econometrics and Operations Research course for master students at the University of Groningen, the Netherlands - the longest-standing Stochastic Programming course worldwide.

Keywords

Stochastic programming Risk Optimization Recourse models Chance constraints Linear programming models Measure theory

Authors and affiliations

  • Willem K. Klein Haneveld
    • 1
  • Maarten H. van der Vlerk
    • 2
  • Ward Romeijnders
    • 3
  1. 1.Department of OperationsUniversity of GroningenGroningenThe Netherlands
  2. 2.Department of OperationsUniversity of GroningenGroningenThe Netherlands
  3. 3.Department of OperationsUniversity of GroningenGroningenThe Netherlands

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-030-29219-5
  • Copyright Information Springer Nature Switzerland AG 2020
  • Publisher Name Springer, Cham
  • eBook Packages Business and Management
  • Print ISBN 978-3-030-29218-8
  • Online ISBN 978-3-030-29219-5
  • Series Print ISSN 2662-6012
  • Series Online ISSN 2662-6020
  • Buy this book on publisher's site