Solving Stochastic Programs
Published Online: 15 FEB 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
Wiley Encyclopedia of Operations Research and Management Science
How to Cite
Bayraksan, G. 2011. Solving Stochastic Programs. Wiley Encyclopedia of Operations Research and Management Science. .
- Published Online: 15 FEB 2011
This article reviews solution methods for stochastic programs. First, decomposition methods that exploit the special structure of stochastic programs are discussed. Then, approximate solution methods based on Monte Carlo sampling and bounding techniques are introduced. The algorithmic ideas are presented with a focus on two-stage stochastic programs with recourse. Extensions to other class of stochastic programs are pointed out.
- stochastic programming;
- decomposition methods;
- optimization algorithms;
- Monte Carlo sampling;