An approach to stochastic programming for medium term planning

Robert G Dyson and Gillian Swaithes

Omega, 1976, vol. 4, issue 4, 479-485

Abstract: A number of methods of obtaining the distribution of the optimum of the 'wait and see' stochastic programming model have been proposed, but computational experience for these is currently limited to the solution of small problems. The purpose of this paper is to discuss the role of the 'wait and see' model in planning, and to propose a method of analysis based on the minimax and maximax decision criteria. The approach requires the solution of a special class of non-linear programming problems. Computational results to date suggest that it will be possible to analyse practically sized problems in this way.

Date: 1976
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