Applications of stochastic programming: Achievements and questions
When solving a decision problem under uncertainty via stochastic programming it is essential to choose or to build a suitable stochastic programming model taking into account the nature of the real-life problem, character of input data, availability of software and computer technology. Besides a brief review of history and achievements of stochastic programming, selected modeling issues concerning applications of multistage stochastic programs with recourse (the choice of the horizon, stages, methods for generating scenario trees, etc.) will be discussed.
stochastic programming horizon stages multistage problems with recourse