Publication detail

Theoretical Framework for Stochastic Programming

NOVOTNÝ, J.

English title

Theoretical Framework for Stochastic Programming

Type

Paper in proceedings (conference paper)

Language

en

Original abstract

This paper aims to present a theoretical framework for stochastic programming models, i.e. for optimization models that involve uncertainty. The framework is characterized by two distinctive features: it is based on the notions of a mathematical program and a probability space. Based on these, it allows the common stochastic programming models to be rigorously derived, and hopefully well understood. Such approach is not common in the literature (See Reference), the stochasticity is generally introduced to a deterministic program after it has been build.

Keywords in English

Two-stage stochastic programming, Separable function, Wait-and-see, Here-and-now, Probability

Released

2009-06-24

Location

Brno

ISBN

978-80-214-3884-2

Book

MENDEL 2009

Pages from–to

239–246

Pages count

8

BIBTEX


@inproceedings{BUT93497,
  author="Jan {Novotný}",
  title="Theoretical Framework for Stochastic Programming",
  booktitle="MENDEL 2009",
  year="2009",
  series="MENDEL",
  number="1",
  pages="239--246",
  address="Brno",
  isbn="978-80-214-3884-2"
}