Questions tagged [stochastic-programming]

Questions on stochastic programming, a method for modeling optimization problems that involve uncertainty.

11 questions
28 views

Integer Linear Programming with Expectation of Random Variables

I'm looking to get pointed in the right direction with regards to research on a particular (Stochastic) Integer Linear Programming case. I've been looking into stochastic, chance-constrained, and ...
61 views

Chance constrained stochastic programming

A stochastic programming optimizes the expectation of a cost function with respect to values. \begin{cases} {\boldsymbol x}=\text{argmin}~ E(f({\boldsymbol x}))\\ {\boldsymbol g}({\boldsymbol x})<{...
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Optimality solutions of stochastic linear program

Given the random LP: $K(x,\epsilon) = min_{a=(a_1,a_2)}\ a_1(w) + a_2(w)$ such that $$\ a_1(w) - a_2(w) = x-\epsilon$$ and $$a_1(w), a_2(w), x\geq 0,$$ where $\epsilon\sim U(0,1)$ and $w$ is the ...
59 views

Stochastic Dynamic Programming: Deriving the Steady-State for a Lottery

This question was originally posted here, but as the Math.SE community is more active I provide an extended version of the post here. I am working through the basic examples of the stochastic ...
232 views

What is the role of the recourse variable in stochastic programming?

What is the role of recourse variable in stochastic programming? I often see two-stage stochastic programming problems with recourse, written as follows: Stage 1 \begin{equation} \begin{array}{...
188 views

Stochastic optimization vs stochastic programming

How should I think about the differences between stochastic optimization (SO) and stochastic programming (SP)? From Wikipedia, it seems that SO is a framework that uses randomness to solve a pre-...
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Why is it valid to derive a stochastic Euler equation?

Suppose we are given a stochastic dynamic programming problem. $$\max E\sum_{t=0}^T F(t,X_t, X_{t+1}(X_t,V_{t}),V_{t})$$ Where $V_t$ is a random variable, correlated possibly with $V_{t-1}$. In this ...
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Good book for Integer/Non-Linear/Stochastic/Dynamic programing [Operations Research]

I am looking for a book that deals with more advanced topics of operations research, like stochastic programming, dynamic programming, non-linear programming and integer-programming. Most books on ...
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Binary Stochastic Programming with Independent or Positively Correlated Co-efficients

A manufacturer can select a maximum of $N$ stores to fulfill orders from a total of $M$ stores who are looking for inventory, $N\le M$. The case when $N\geq M$ is trivially solved when all stores ...
I am making some homework exercises at the moment and I was wondering if what I did in the following exercise was correct. PROBLEM Solve $E(\sum_{k=0}^{N-1}(1-u_k)X_k + X_N) \rightarrow \max$, where ...
Let $X$ be a bounded positive variable with an unknown probability density function (PDF) and $f(X)$ be a differentiable positive function. \begin{align*} &\min/\max &E\left[\frac{X}{f(X)}\...