Stochastic Programs with Incomplete Information

Aharon Ben‐Tal · Eithan Hochman

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Optimization and Mathematical Programming

Abstract

This paper treats a simple recourse problem. We consider the problem of reducing the feasible set into a smaller efficient set when partial information about the random parameters is known. We analyze some examples and give applications to stochastic programs with compete information.

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References

1971On the theory of the competitive firm under price uncertainty 1971Increasing risk II: Its economic consequences 2005A Min-Max Solution of an Inventory Problem 1974Simplifying the Choice between Uncertain Prospects Where Preference is Nonlinear 1970The Value of Information and Stochastic Programming 1972More bounds on the expectation of a convex function of a random variable 1970Computational Algorithms for Convex Stochastic Programs with Simple Recourse 1964Nonlinear Programming Problems with Stochastic Objective Functions

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