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Stochastic Programming: Solution Techniques and Approximation Schemes

In: Mathematical Programming The State of the Art

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  • R. Wets

    (University of Kentucky, Department of Mathematics
    I.IA.S.A)

Abstract

Solutions techniques for stochastic programs are reviewed. Particular emphasis is placed on those methods that allow us to proceed by approximation. We consider both stochastic programs with recourse and stochastic programs with chance-constraints.

Suggested Citation

  • R. Wets, 1983. "Stochastic Programming: Solution Techniques and Approximation Schemes," Springer Books, in: Achim Bachem & Bernhard Korte & Martin Grötschel (ed.), Mathematical Programming The State of the Art, pages 566-603, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-68874-4_22
    DOI: 10.1007/978-3-642-68874-4_22
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