Analysis and Comparisons of some Solution Concepts for Stochastic Programming Problems

Rafael Caballero, Emilio Cerdá, María del Mar Muñoz and Lourdes Rey
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Rafael Caballero: Department of Applied Economics (Mathematics), University of Málaga, Spain.
María del Mar Muñoz: Department of Applied Economics (Mathematics), University of Málaga, Spain.
Lourdes Rey: Department of Applied Economics (Mathematics), University of Málaga, Spain.

Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: The aim of this study is to analyse the resolution of Stochastic Programming Problems in which the objective function depends on parameters which are continuous random variables with a known distribution probability. In the literature on these questions different solution concepts have been defined for problems of these characteristics. These concepts are obtained by applying a transformation criterion to the stochastic objective which contains a statistical feature of the objective, implying that for the same stochastic problem there are different optimal solutions available which, in principle, are not comparable. Our study analyses and establishes some relations between these solution concepts.

Keywords: Stochastic Programming; Optimal solution concepts. (search for similar items in EconPapers)
Pages: pages 27
Date: 2002
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Journal Article: Analysis and comparisons of some solution concepts for stochastic programming problems (2002)
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