Stochastic Programming The State of the Art In Honor of George B. Da
From the Preface… The preparation of this book started in 2004, when George B. Dantzig and I, following a long-standing invitation by Fred Hillier to contribute a volume to his International Series in Operations Research and Management Science, decided fi
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Volume 150
Series Editor: Frederick S. Hillier Stanford University, CA, USA Special Editorial Consultant: Camille C. Price Stephen F. Austin State University, TX, USA
For further volumes: http://www.springer.com/series/6161
Gerd Infanger Editor
Stochastic Programming The State of the Art In Honor of George B. Dantzig
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Editor Gerd Infanger Department of Management Science and Engineering Stanford University Stanford, CA 94305, USA [email protected] Infanger Investment Technology, LLC 2685 Marine Way, Suite 1315 Mountain View, CA 94043, USA
ISSN 0884-8289 ISBN 978-1-4419-1641-9 e-ISBN 978-1-4419-1642-6 DOI 10.1007/978-1-4419-1642-6 Springer New York Dordrecht Heidelberg London Library of Congress Control Number: 2010939002 c Springer Science+Business Media, LLC 2011 All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
To Alex
Preface
The preparation of this book started in 2004, when George B. Dantzig and I, following a long-standing invitation by Frederick S. Hillier to contribute a volume to his International Series in Operations Research and Management Science, decided finally to go ahead with editing a volume on stochastic programming. The field of stochastic programming (also referred to as optimization under uncertainty or planning under uncertainty) had advanced significantly in the last two decades, both theoretically and in practice. George Dantzig and I felt that it would be valuable to showcase some of these advances and to present what one might call the state of the art of the field to a broader audience. We invited researchers whom we considered to be leading experts in various specialties of the field, including a few representatives of promising developments in the making, to write a chapter for this volume. Unfortunately, to the great loss of all of us, George Dantzig passed away on May 13, 2005. Encouraged by many colleagues, I decided to continue with the book and edit it as a volume dedicated to George Dantzig. Management Science published in 2005 a special volume featuring the “ten most influential papers of the first 50 years of management science.” George Dantzig’s original 1955 stochastic programming paper, “Linear Programming Under Uncertainty,” was featured among these ten. Hearing about this, George Dantzig s
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