Stochastic Linear Programming

  • Peter Kall

Part of the Ökonometrie und Unternehmensforschung / Econometrics and Operations Research book series (ÖKONOMETRIE, volume 21)

Table of contents

  1. Front Matter
    Pages i-vi
  2. Peter Kall
    Pages 1-10
  3. Peter Kall
    Pages 11-18
  4. Peter Kall
    Pages 19-38
  5. Peter Kall
    Pages 39-78
  6. Peter Kall
    Pages 79-92
  7. Back Matter
    Pages 93-98

About this book

Introduction

Todaymanyeconomists, engineers and mathematicians are familiar with linear programming and are able to apply it. This is owing to the following facts: during the last 25 years efficient methods have been developed; at the same time sufficient computer capacity became available; finally, in many different fields, linear programs have turned out to be appropriate models for solving practical problems. However, to apply the theory and the methods of linear programming, it is required that the data determining a linear program be fixed known numbers. This condition is not fulfilled in many practical situations, e. g. when the data are demands, technological coefficients, available capacities, cost rates and so on. It may happen that such data are random variables. In this case, it seems to be common practice to replace these random variables by their mean values and solve the resulting linear program. By 1960 various authors had already recog­ nized that this approach is unsound: between 1955 and 1960 there were such papers as "Linear Programming under Uncertainty", "Stochastic Linear Pro­ gramming with Applications to Agricultural Economics", "Chance Constrained Programming", "Inequalities for Stochastic Linear Programming Problems" and "An Approach to Linear Programming under Uncertainty".

Keywords

Lineare Optimierung Programming Stochastische Optimierung economics linear optimization optimization

Authors and affiliations

  • Peter Kall
    • 1
  1. 1.Institute for Operations Research and Mathematical Methods in EconomicsUniversity of ZurichSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-66252-2
  • Copyright Information Springer-Verlag Berlin Heidelberg 1976
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-66254-6
  • Online ISBN 978-3-642-66252-2
  • Series Print ISSN 0078-3390
  • About this book