Questions tagged [stochastic-programming]

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

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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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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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Solutions for “Stochastic Programming: Modeling Decision Problems Under Uncertainty".

I am currently reading Stochastic Programming: Modeling Decision Problems Under Uncertainty by Willem K. Klein Haneveld, Maarten H. van der Vlerk, and Ward Romeijnders (the 2020 Springer edition), and ...
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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 ...
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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}{...
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Exercises and examples about 2 stage and multi stochastic programming? I need to do practice but I can't find much

I want to do exercises on stochastic programming, but I don't know where to start to learn how to approach to this kind of problems. Are there any exercises book or online resources I can refer to? ...
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Understanding two-stage linear stochastic programming problem's formulation

The classical two-stage linear stochastic programming problems, where at the first stage the decision variable is $x$, can be formulated as: $$\min_{x}\{g(x):=c'x+\mathbb{E}[Q(x,\xi)]\},$$ where $Q(x,\...
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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 ...
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A stochastic programming with a chance constraint

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)}\...