Stochastic Programming Computational Issues and Challenges

Stochastic Programming Computational Issues and Challenges Short Description
Because of these properties, stochastic programming models have been … Nevertheless, stochastic programming models remain one of the …

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Content
From Encyclopedia of OR/MS, S. Gass and C. Harris (eds.)
Stochastic Programming: Computational Issues and Challenges
Suvrajeet Sen
SIE Department
University of Arizona, Tucson, AZ 85721
Introduction
Stochastic programming deals with a class of optimization models and algorithms in which
some of the data may be subject to signi cant uncertainty. Such models are appropriate
when data evolve over time and decisions need to be made prior to observing the entire
data stream. For instance, investment decisions in portfolio planning problems must
be implemented before stock performance can be observed. Similarly, utilities must plan
power generation…

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