Stochastic programming
By: Peter Kall, Stein W. Wallace.
Contributors: Wallace, Stein W., 1956-
Series: Wiley-Interscience series in systems and optimization
Publisher: Wiley
Published: 1994
Place of publication: Chichester; New York
Language: eng
Number of pages: 307
Subjects: Stochastic programming
Description: 'Stochastic Programming' is the first textbook to provide a thorough and self-contained introduction to the subject. Carefully written to cover all necessary background material from both linear and non-linear programming, as well as probability theory, the book draws together the methods and techniques previously described in disparate sources.

After introducing the terms and modelling issues when randomness is introduced in a deterministic mathematical programming model, the authors cover decision trees and dynamic programming, recourse problems, probabilistic constraints, preprocessing and network problems. Exercises are provided at the end of each chapter.

Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories, making the book ideal for researchers and students in mathematical programming and operations research who wish to develop their skills in stochastic programming.
Notes: Includes bibliographical references and index.