Uncertainties in stochastic programming models: The minimax approach

Author Jitka Dupacová



PDF
Thumbnail PDF

File

DagSemProc.05031.32.pdf
  • Filesize: 60 kB
  • 2 pages

Document Identifiers

Author Details

Jitka Dupacová

Cite As Get BibTex

Jitka Dupacová. Uncertainties in stochastic programming models: The minimax approach. In Algorithms for Optimization with Incomplete Information. Dagstuhl Seminar Proceedings, Volume 5031, pp. 1-2, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2005) https://doi.org/10.4230/DagSemProc.05031.32

Abstract

50 years ago, stochastic programming was introduced to deal with uncertain values of coefficients which were observed in applications of mathematical programming. These uncertainties were modeled as random and the assumption of complete knowledge of the probability distribution of random parameters became a standard. Hence, there is a new type of uncertainty concerning the probability distribution. Using a hypothetical, ad hoc distribution may lead to bad, costly decisions. Besides of a subsequent output analysis it pays to include the existing, possibly limited information into the model, cf. the minimax approach which will be the main item of this presentation. It applies to cases when the probability distribution is only known to belong to a specified class of probability distributions and one wishes to hedge against the least favorable distribution. The minimax approach has been developed for special types of stochastic programs and special choices of the class of probability distributions and there are recent results aiming at algorithmic solution of minimax problems and on stability properties of minimax solutions.

Subject Classification

Keywords
  • stochastic programming models
  • minimax approach

Metrics

  • Access Statistics
  • Total Accesses (updated on a weekly basis)
    0
    PDF Downloads
Questions / Remarks / Feedback
X

Feedback for Dagstuhl Publishing


Thanks for your feedback!

Feedback submitted

Could not send message

Please try again later or send an E-mail