Fundamental Modelling Questions in Stochastic Programming

Wim Stefanus Ackooij and Welington Luis de Oliveira
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Wim Stefanus Ackooij: Électricité de France (EDF R&D)
Welington Luis de Oliveira: Mines Paris - PSL

Chapter Chapter 6 in Methods of Nonsmooth Optimization in Stochastic Programming, 2025, pp 175-184 from Springer

Abstract: Abstract In this chapter, we try to provide a roadmap for formulating a “stochastic program”. We interpret the latter as meaning an optimization problem accounting, in some way, for uncertainty. A specific pattern should be followed to arrive at a suitably formulated stochastic program. This is especially true in a situation wherein a previous deterministic model already exists. This chapter provides some thoughts on the matter.

Keywords: Modelling uncertainty; Recourse; Probability constraints (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/978-3-031-84837-7_6

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