102. Stochastic Optimization

  1. Gavriel Salvendy Ph.D. professor founding editor founding chair member scientist Honorary Doctrate Fellow
  1. Anton J. Kleywegt Professor and
  2. Alexander Shapiro Professor

Published Online: 5 DEC 2007

DOI: 10.1002/9780470172339.ch102

Handbook of Industrial Engineering: Technology and Operations Management, Third Edition

Handbook of Industrial Engineering: Technology and Operations Management, Third Edition

How to Cite

Kleywegt, A. J. and Shapiro, A. (2001) Stochastic Optimization, in Handbook of Industrial Engineering: Technology and Operations Management, Third Edition (ed G. Salvendy), John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470172339.ch102

Editor Information

  1. School of Industrial Engineering, Purdue University, West Lafayette, Indiana, USA

Author Information

  1. School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia, USA

Publication History

  1. Published Online: 5 DEC 2007
  2. Published Print: 11 MAY 2001

ISBN Information

Print ISBN: 9780471330578

Online ISBN: 9780470172339

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Keywords:

  • stochastic optimization;
  • stochastic programming problem;
  • stochastic approximation method;
  • Dynamic programming (DP) and Markov decision processes (MDP);
  • resource-allocation problem

Summary

This chapter contains sections titled:

  • Introduction

  • Optimization Under Uncertainty

  • Stochastic Programming

  • Dynamic Programming

  • References