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Stochastic Programs with Incomplete Information

Author

Listed:
  • Aharon Ben-Tal

    (University of Texas, Austin, Texas)

  • Eithan Hochman

    (Tel-Aviv University, Tel-Aviv, Israel)

Abstract

This paper treats a simple recourse problem. We consider the problem of reducing the feasible set into a smaller efficient set when partial information about the random parameters is known. We analyze some examples and give applications to stochastic programs with compete information.

Suggested Citation

  • Aharon Ben-Tal & Eithan Hochman, 1976. "Stochastic Programs with Incomplete Information," Operations Research, INFORMS, vol. 24(2), pages 336-347, April.
    • Handle: RePEc:inm:oropre:v:24:y:1976:i:2:p:336-347
    DOI: 10.1287/opre.24.2.336
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    Cited by:

    1. Karthik Natarajan & Melvyn Sim & Joline Uichanco, 2018. "Asymmetry and Ambiguity in Newsvendor Models," Management Science, INFORMS, vol. 64(7), pages 3146-3167, July.
    2. Postek, Krzysztof & Ben-Tal, A. & den Hertog, Dick & Melenberg, Bertrand, 2015. "Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information," Other publications TiSEM d718e419-a375-4707-b206-e, Tilburg University, School of Economics and Management.
    3. Postek, Krzysztof & Romeijnders, Ward & den Hertog, Dick & van der Vlerk, Maarten H., 2019. "An approximation framework for two-stage ambiguous stochastic integer programs under mean-MAD information," European Journal of Operational Research, Elsevier, vol. 274(2), pages 432-444.
    4. Roos, Ernst & Brekelmans, Ruud & van Eekelen, Wouter & den Hertog, Dick & van Leeuwaarden, Johan S.H., 2022. "Tight tail probability bounds for distribution-free decision making," European Journal of Operational Research, Elsevier, vol. 299(3), pages 931-944.
    5. Postek, Krzysztof & Romeijnders, Ward & den Hertog, Dick & van der Vlerk, Maartne H., 2016. "Efficient Methods for Several Classes of Ambiguous Stochastic Programming Problems under Mean-MAD Information," Discussion Paper 2016-039, Tilburg University, Center for Economic Research.
    6. van Eekelen, Wouter, 2023. "Distributionally robust views on queues and related stochastic models," Other publications TiSEM 9b99fc05-9d68-48eb-ae8c-9, Tilburg University, School of Economics and Management.
    7. Postek, Krzysztof & Romeijnders, Ward & den Hertog, Dick & van der Vlerk, Maartne H., 2016. "Efficient Methods for Several Classes of Ambiguous Stochastic Programming Problems under Mean-MAD Information," Other publications TiSEM a03f895f-b941-41a9-84e0-b, Tilburg University, School of Economics and Management.
    8. Postek, Krzysztof & Ben-Tal, A. & den Hertog, Dick & Melenberg, Bertrand, 2015. "Exact Robust Counterparts of Ambiguous Stochastic Constraints Under Mean and Dispersion Information," Discussion Paper 2015-030, Tilburg University, Center for Economic Research.

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