Titlebook: Dynamic Stochastic Optimization; Kurt Marti,Yuri Ermoliev,Georg Pflug Conference proceedings 2004 Springer-Verlag Berlin Heidelberg 2004 A

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Stand in Rechtsprechung und Literaturresented here for solving probabilistic constrained problems and a model family, combining probabilistic constraint and recourse, proposed by Prékopa. The common feature of these algorithms is that all rely on replacing the “hard” part of the problem by an easy-to-compute regression function. Numerical examples and test results are also given.

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Trygve Ben Holland,Sarah Hollanddditional features which arise when extending modeling support from two-stage recourse problems to the multistage case. The reason is that we have just finished the development of the first multistage version of SLP-IOR, our model management system for stochastic linear programming (SLP). The genera

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