Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs

In engineering and economics a certain vector of inputs or decisions must often be chosen, subject to some constraints, such that the expected costs arising from the deviation between the output of a shastic linear system and a desired shastic target vector are minimal. In many cases the loss function u is convex and the occuring random variables have, at least approximately, a joint discrete distribution. Concrete problems of this type are shastic linear programs with recourse, portfolio o...