Modeling with Stochastic Programming
While there are several texts on how to solve and analyze stochastic programs, this is the first text to address basic questions about how to model uncertainty, and how to reformulate a deterministic model so that it can be analyzed in a stochastic settin
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For further volumes: http://www.springer.com/series/3182
Alan J. King
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Stein W. Wallace
Modeling with Stochastic Programming
123
Alan J. King T.J. Watson Research Center IBM Corporation 1101 Kitchawan Road Yorktown Heights, NY 10598 USA
Stein W. Wallace Department of Management Science Lancaster University Management School Lancaster United Kingdom
ISSN 1431-8598 ISBN 978-0-387-87816-4 ISBN 978-0-387-87817-1 (eBook) DOI 10.1007/978-0-387-87817-1 Springer New York Heidelberg Dordrecht London Library of Congress Control Number: 2012939201 Mathematics Subject Classification (2010): 90-01, 90C15, 90C31, 90B15 c Springer Science+Business Media New York 2012 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To our mentors: R. Tyrrell Rockafellar and Roger J-B Wets.
Preface
I do not approve of anything which tampers with natural ignorance. – Oscar Wilde This book has been in the making since Wallace had a sabbatical in Grenoble, France, in 1996/1997, just after Kall and Wallace [30] was published. Already at that time it was clear that the next step would be modeling. Between then and now several intermediate texts have arisen, all being used for teaching over many years, also by others besides us. At one point several attempts to publish the text were made
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