Standard Article

Solving Stochastic Programs

  1. Güzİn Bayraksan

Published Online: 15 FEB 2011

DOI: 10.1002/9780470400531.eorms0814

Wiley Encyclopedia of Operations Research and Management Science

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. .

Author Information

  1. University of Arizona, Department of Systems and Industrial Engineering, Tucson, Arizona

Publication History

  1. Published Online: 15 FEB 2011

Abstract

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.

Keywords:

  • stochastic programming;
  • decomposition methods;
  • optimization algorithms;
  • Monte Carlo sampling;
  • bounds;
  • approximations