Nonlinear stochastic programming

Abstract

This work is concerned with stochastic programming, which is one way to incorporate uncertainty in mathematical programming. The focus has been set primarily on recourse formulations, and both two-stage and multistage programs are covered. In the first part we present the properties of such problems, and introduce chance-constraints programming. In the second part we review methods and algorithms that have been proposed to solve nonlinear stochastic problems with recourse. The last part of this document is devoted to applications, covering several fields including scheduling, financial and optimal power dispatch problems.

Date of Award	2001
Original language	English
Supervisor	Philippe Toint (Co-Supervisor) & Francois LOUVEAUX (Supervisor)