Elsevier < Decision Sciences Publications < Handbooks in Operations Research and Management Science < Volume 10: Stochastic Programming  < Chapter 2

STOCHASTIC PROGRAMMING
Edited by A. Ruszczynski and A. Shapiro

CHAPTER 2
Optimality and Duality in Stochastic Programming
A. Ruszczynski and A. Shapiro

1. Expectation functions*

2. Two-stage stochastic programming problems

3. Multistage models

4. Optimality conditions, basic case

5. Optimality conditions for multistage models

6. Duality, basic case

7. Duality for multistage stochastic programs

8. Min–max stochastic optimization

References

* The first two pages of the chapters are available as PDF file.

 Complete chapters on ScienceDirect
 
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