TY  - BOOK
AU  - Birge, John R.
AU  - Louveaux, Francois
TI  - Introduction to stochastic programming
T2  - Springer series in operations research and financial engineering
SN  - 9781493937035
U1  - 519.7 
PY  - 2011///
CY  - New York
PB  - Springer
KW  - Stochastic programming
KW  - Linear programming
KW  - Mathematical optimization
KW  - Mathematical statistics
N2  - The aim of stochastic programming is to find optimal decisions in problems  which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. At the same time, it is now being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems.

In this extensively updated new edition there is more material on methods and examples including several new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods including approximate dynamic programming, robust optimization and online methods.

The book is highly illustrated with chapter summaries and many examples and exercises. Students, researchers and practitioners in operations research and the optimization area will find it particularly of interest
ER  -