On the Numerical Solution of Stochastic Optimization Problems

  • J. Mayer
Part of the IFIP International Federation for Information Processing book series (IFIPAICT, volume 199)


We introduce the stochastic linear programming (SLP) model classes, which will be considered in this paper, on the basis of a small-scale linear programming problem. The solutions for the various problem formulations are discussed in a comparative fashion. We point out the need for model and solution analysis. Subsequently, we outline the basic ideas of selected major algorithms for two classes of SLP problems: two-stage recourse problems and problems with chance constraints. Finally, we illustrate the computational behavior of two algorithms for large-scale SLP problems.


stochastic linear programming numerical methods 


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Copyright information

© International Federation for Information Processing 2006

Authors and Affiliations

  • J. Mayer
    • 1
  1. 1.Institute for Operations ResearchUniversity of ZurichZurichSwitzerland

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