IDEAS home Printed from
   My bibliography  Save this paper

Challenges in Stochastic Programming


  • R.J.-B. Wets


A class of non-cooperative constrained games is analyzed for which the Ky Fan function is convex-concave. Nash equilibria of such games correspond to diagonal saddle points of the said function. This feature is exploited in designing computational algorithms for finding such equilibria.

Suggested Citation

  • R.J.-B. Wets, 1994. "Challenges in Stochastic Programming," Working Papers wp94032, International Institute for Applied Systems Analysis.
  • Handle: RePEc:wop:iasawp:wp94032

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Paul A. Samuelson, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments," Review of Economic Studies, Oxford University Press, vol. 37(4), pages 537-542.
    2. László Somlyódy & Roger J.-B. Wets, 1988. "Stochastic Optimization Models for Lake Eutrophication Management," Operations Research, INFORMS, vol. 36(5), pages 660-681, October.
    3. Zvi Artstein & Roger J-B. Wets, 1993. "Sensors and Information in Optimization Under Stochastic Uncertainty," Mathematics of Operations Research, INFORMS, vol. 18(3), pages 523-547, August.
    4. Alexander Shapiro, 1993. "Asymptotic Behavior of Optimal Solutions in Stochastic Programming," Mathematics of Operations Research, INFORMS, vol. 18(4), pages 829-845, November.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wop:iasawp:wp94032. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.