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Multistage stochastic programs: The state-of-the-art and selected bibliography. (English) Zbl 0860.90093
Summary: The paper gives a brief introduction into the problems of multistage stochastic programming with emphasis on the modeling issues and on the contemporary numerical advances. Extensive classified bibliography is contained in the last section.

MSC:
90C15 Stochastic programming
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References:
[1] J. R. Birge, R. J.-B. Wets (eds.): Stochastic Programming. Annals of Oper. Res. 30 and Si (1991).
[2] M.A.H. Dempster (ed.): Stochastic Programming. Academic Press, London 1980. · Zbl 0484.90076
[3] Yu. Ermoliev, R. J.-B. Wets (eds.): Numerical Techniques for Stochastic Optimization Problems. Springer, Berlin 1988. · Zbl 0658.00020
[4] P. Kali, A. Prekopa (eds.): Recent Results in Stochastic Programming. Lecture Notes in Econom. and Math. Systems 179, Springer, Berlin 1980.
[5] A. Prekopa, R. J.-B. Wets (eds.): Stochastic Programming 84. Math. Programming Study 27 and 28. North-Holland, Amsterdam 1986. · Zbl 0583.00042
[6] E. Beale: On minimizing a convex function subject to linear inequalities. J. Roy. Statist. Soc. Ser. B 17 (1955), 173-184. · Zbl 0068.13701
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[11] J. Dupačová: Applications of stochastic programming under incomplete information. To appear in J. Comput. Appl. Math. 56 (1995), 1-2.
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[13] A. Prekopa: Logarithmic concave measures with application to stochastic programming. Acta Sci. Math. 32 (1971), 301-316. · Zbl 0235.90044
[14] R. T. Rockafellar, R. J.-B. Wets: Stochastic convex programming: Kuhn-Tucker conditions. J. Math. Econom. 2 (1975), 349-370. · Zbl 0343.90039 · doi:10.1016/0304-4068(75)90003-8
[15] R. T. Rockafellar, R. J.-B. Wets: Stochastic convex programming: Singular multipliers and extended duality. Pacific J. Math. 62 (1976), 507-522. · Zbl 0346.90057 · doi:10.2140/pjm.1976.62.173
[16] R. T. Rockafellar, R. J.-B. Wets: Stochastic convex programming: Basic duality. Pacific J. Math. 62 (1976), 173-195. · Zbl 0339.90048 · doi:10.2140/pjm.1976.62.173
[17] R.T. Rockafellar, R. J.-B. Wets: Stochastic convex programming: Relatively complete recourse and induced feasibility. SIAM J. Control Optim. 14 (1976), 574-589. · Zbl 0346.90058 · doi:10.1137/0314038
[18] G. Tintner: Stochastic linear programming with applications to agricultural economics. Proc. of the 2nd Symp. in Linear Programming, Washington 1955, pp. 197-207.
[19] R. Van Slyke, R. J.-B. Wets: L-shaped linear programs with application to optimal control and stochastic linear programs. SIAM J. Appl. Math. 17 (1969), 638-663. · Zbl 0197.45602 · doi:10.1137/0117061
[20] S. W. Wallace, R. J.-B. Wets: Preprocessing in stochastic programming: The case of linear programs. ORSA J. on Computing 4 (1992), 45-59. · Zbl 0760.90074 · doi:10.1287/ijoc.4.1.45
[21] D. W. Walkup, R. J.-B. Wets: Stochastic programs with recourse. SIAM J. Appl. Math. 75 (1967), 1299-1314. · Zbl 0203.21806 · doi:10.1137/0115113
[22] R. J.-B. Wets: Stochastic programs with fixed recourse: The equivalent deterministic program. SIAM Rev, 16 (1974), 309-339. · Zbl 0311.90056 · doi:10.1137/1016053
[23] R. J.-B. Wets: Stochastic programming: Solution techniques and approximation schemes. Mathematical Programming - The State of the Art Bonn 1982 (J. Bachem et al., Springer, Berlin 1983, pp. 566-603.
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