Stochastic Programming Models: Wait-and-See Versus Here-and-Now
- Cite this paper as:
- Wets R.JB. (2002) Stochastic Programming Models: Wait-and-See Versus Here-and-Now. In: Greengard C., Ruszczynski A. (eds) Decision Making Under Uncertainty. The IMA Volumes in Mathematics and its Applications, vol 128. Springer, New York, NY
We introduce a number of stochastic programming models via examples and then proceed to derive one of the fundamental theorems in the field that brings to the fore the constrast between wait-and-see and here-and-now formulations.
Key wordsStochastic programming wait-and-see here-and-now measurable mappings nonanticipativity
AMS(MOS) subject classifications90C15
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