STOCHASTIC PROGRAMS WITH RECOURSE

@article{Walkup1967STOCHASTICPW,
  title={STOCHASTIC PROGRAMS WITH RECOURSE},
  author={David W. Walkup and Roger J.-B. Wets},
  journal={Siam Journal on Applied Mathematics},
  year={1967},
  volume={15},
  pages={1299-1314}
}
  • D. Walkup, R. Wets
  • Published 1 September 1967
  • Mathematics
  • Siam Journal on Applied Mathematics
Abstract : So far the study of stochastic programs with recourse has been limited to the case (called by G. Dantzig programming under uncertainty) when only the right-hand sides or resources of the problem are random. In this paper the authors extend the theory to the general case when essentially all the parameters involved are random. This generalization immediately raises the problem of attributing a precise meaning to the stochastic constraints. They examine a probability formulation… 

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