Biblioteca de la Universidad Complutense de Madrid

Analysis and comparisons of some solution concepts for stochastic programming problems

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Caballero Fernández, Rafael y Cerdá Tena, Emilio y Muñoz Martos, María del Mar y Rey, Lourdes (2002) Analysis and comparisons of some solution concepts for stochastic programming problems. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0218, 2002, ]

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URL Oficial: http://eprints.ucm.es/7677/




Resumen

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.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Stochastic Programming, Optimal solution concepts
Materias:Ciencias Sociales > Economía > Economía pública
Título de serie o colección:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2002
Número:0218
Código ID:7677
Referencias:

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Depositado:07 Mar 2008
Última Modificación:06 Feb 2014 07:55

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