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- Stochastic_programming abstract "In the field of mathematical optimization, stochastic programming is a framework for modeling optimization problems that involve uncertainty. Whereas deterministic optimization problems are formulated with known parameters, real world problems almost invariably include some unknown parameters. When the parameters are known only within certain bounds, one approach to tackling such problems is called robust optimization. Here the goal is to find a solution which is feasible for all such data and optimal in some sense. Stochastic programming models are similar in style but take advantage of the fact that probability distributions governing the data are known or can be estimated. The goal here is to find some policy that is feasible for all (or almost all) the possible data instances and maximizes the expectation of some function of the decisions and the random variables. More generally, such models are formulated, solved analytically or numerically, and analyzed in order to provide useful information to a decision-maker.As an example, consider two-stage linear programs. Here the decision maker takes some action in the first stage, after which a random event occurs affecting the outcome of the first-stage decision. A recourse decision can then be made in the second stage that compensates for any bad effects that might have been experienced as a result of the first-stage decision. The optimal policy from such a model is a single first-stage policy and a collection of recourse decisions (a decision rule) defining which second-stage action should be taken in response to each random outcome.Stochastic programming has applications in a broad range of areas ranging from finance to transportation to energy optimization.We present an example of optimizing an investment portfolio over time.".
- Stochastic_programming wikiPageExternalLink solvers.
- Stochastic_programming wikiPageExternalLink Example_with_15_unknown_variables.
- Stochastic_programming wikiPageExternalLink Global_nonlinear_optimization_example.
- Stochastic_programming wikiPageExternalLink Local_nonlinear_optimization_example.
- Stochastic_programming wikiPageExternalLink stoprog.org.
- Stochastic_programming wikiPageExternalLink index.html?introductions.html.
- Stochastic_programming wikiPageExternalLink Smi.xml.
- Stochastic_programming wikiPageExternalLink 978-0-387-87816-4.
- Stochastic_programming wikiPageExternalLink SPbook.pdf.
- Stochastic_programming wikiPageID "501898".
- Stochastic_programming wikiPageRevisionID "603636167".
- Stochastic_programming hasPhotoCollection Stochastic_programming.
- Stochastic_programming subject Category:Mathematical_optimization.
- Stochastic_programming subject Category:Operations_research.
- Stochastic_programming subject Category:Stochastic_algorithms.
- Stochastic_programming subject Category:Stochastic_optimization.
- Stochastic_programming type Abstraction100002137.
- Stochastic_programming type Act100030358.
- Stochastic_programming type Activity100407535.
- Stochastic_programming type Algorithm105847438.
- Stochastic_programming type Event100029378.
- Stochastic_programming type Procedure101023820.
- Stochastic_programming type PsychologicalFeature100023100.
- Stochastic_programming type Rule105846932.
- Stochastic_programming type StochasticAlgorithms.
- Stochastic_programming type YagoPermanentlyLocatedEntity.
- Stochastic_programming comment "In the field of mathematical optimization, stochastic programming is a framework for modeling optimization problems that involve uncertainty. Whereas deterministic optimization problems are formulated with known parameters, real world problems almost invariably include some unknown parameters. When the parameters are known only within certain bounds, one approach to tackling such problems is called robust optimization.".
- Stochastic_programming label "Stochastic programming".
- Stochastic_programming sameAs m.02hzln.
- Stochastic_programming sameAs Q7617831.
- Stochastic_programming sameAs Q7617831.
- Stochastic_programming sameAs Stochastic_programming.
- Stochastic_programming wasDerivedFrom Stochastic_programming?oldid=603636167.
- Stochastic_programming isPrimaryTopicOf Stochastic_programming.