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Analysis and comparisons of some solution concepts for stochastic programming problems

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Caballero Fernández, Rafael and Cerdá Tena, Emilio and Muñoz Martos, María del Mar and 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 18, 2002, ]

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


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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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Stochastic Programming, Optimal solution concepts
Subjects:Social sciences > Economics > Public economy
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2002
Number:18
ID Code:7677
Deposited On:07 Mar 2008
Last Modified:21 Jun 2017 12:01

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