Advances in Linear Stochastic Programming

Multi-stage Stochastic Programming (MSP) has many practical applications for solving problems whose current resolution must be made while taking into account future uncertainty. A variety of methods exist for solving stochastic programming problems, among them are: direct methods such as simplex and interior point methods, and decomposition methods such as ACCPM (Analytic Center Cutting Plane Method), Dantzig-Wolfe and Benders decompositions, and L-shaped method. Moreover, approximation met...