Research Reports from the Department of Operations
Document Type
Report
Publication Date
8-1-1965
Abstract
This paper seeks to prove the basic theorem of stochastic programming that an optimal solution of the certainty equivalent problem is also an optimal solution of the stochastic programming problem. This basic theorem applies to both non-linear space in X as well as to linear space in X. The remaining sections of this paper are concerned with developing general solution methods for stochastic linear programming problems when all of the variables are contained in the b vector.
Keywords
Stochastic processes, Operations research, Production control, Linear programming
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 39
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Symonds, Gifford H.; Doulliez, Pierre J.; Steinmetz, C.; and Chidambaram, T.S., "Stochastic Scheduling - Part IV Solution Methods for Stochastic Programming Problems" (1965). Research Reports from the Department of Operations. 561.
https://commons.case.edu/wsom-ops-reports/561