Analysis and comparisons of some solution concepts for stochastic programming problems
| dc.contributor.author | Caballero Fernández, Rafael | |
| dc.contributor.author | Cerdá Tena, Emilio Jaime | |
| dc.contributor.author | Muñoz Martos, María del Mar | |
| dc.contributor.author | Rey, Lourdes | |
| dc.date.accessioned | 2023-06-21T01:45:53Z | |
| dc.date.available | 2023-06-21T01:45:53Z | |
| dc.date.issued | 2002-09 | |
| dc.description.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. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/7677 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64508 | |
| dc.issue.number | 18 | |
| dc.language.iso | eng | |
| dc.page.total | 27 | |
| dc.publication.place | Madrid | |
| dc.publisher | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid. | |
| dc.relation.ispartofseries | Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights.accessRights | open access | |
| dc.subject.keyword | Stochastic Programming | |
| dc.subject.keyword | Optimal solution concepts | |
| dc.subject.ucm | Economía pública | |
| dc.title | Analysis and comparisons of some solution concepts for stochastic programming problems | |
| dc.type | technical report | |
| dc.volume.number | 2002 | |
| dcterms.references | Bereanu B. (1964). Programme de Risque Minimal en Programmation Linéaire Stochastique. C. R. Acad. Sci. Paris 259, 981-983. Charnes A. and Cooper W.W. (1963). Deterministic Equivalents for Optimizing and Satisfying under Chance Constraints. Operations Research 11, 1, 18-39. Kall P. (1982). Stochastic Programming. European Journal of Operational Research 10, 125-130. Kall P. and Wallace S.W. (1994). Stochastic Programming. John Wiley and Sons. Chichester. Kataoka S. (1963). A Stochastic Programming Model. Econometrica 31, 181-196. Kibzun A.I. and Kan I.S. (1996). Stochastic Programming Problems with Probability and Quantile Functions. John Wiley and Sons. Chichester. Leclerq J.P. (1982). Stochastic Programming: An Interactive Multicriteria Approach. European Journal of Operational Research 10 , 33-41. Markowitz H. (1952). Portfolio Selection. The Journal of Finance 7, 77-91. Prékopa A. (1995). Stochastic Programming. Kluwer Academic Publishers. Dordrecht. Sawaragi Y., Nakayama H. and Tanino T. (1985). Theory of Multiobjective Optimization. Academic Press. New York. Stancu-Minasian I.M. (1984). Stochastic Programming with Multiple Objective Functions. D. Reidel Publishing Company. Dordrecht. Zare Y. and Daneshmand A. (1995). A Linear Approximation method for solving a special class of the chance constrained programming problem. European Journal of Operational Research 80, 213-225. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 175b0308-6eb3-4282-b17d-221c851b2595 | |
| relation.isAuthorOfPublication.latestForDiscovery | 175b0308-6eb3-4282-b17d-221c851b2595 |
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