Introduction to Stochastic Programming

Models -- and Examples -- Uncertainty and Modeling Issues -- Basic Properties -- Basic Properties and Theory -- The Value of Information and the Stochastic Solution -- Solution Methods -- Two-Stage Linear Recourse Problems -- Nonlinear Programming Approaches to Two-Stage Recourse Problems -- Multistage Stochastic Programs -- Stochastic Integer Programs -- Approximation and Sampling Methods -- Evaluating and Approximating Expectations -- Monte Carlo Methods -- Multistage Approximations -- A Case Study -- Capacity Expansion.