J.R. Birge, M.A.H. Dempster, H.I. Gassmann, E.A. Gunn, A.J. King, and S.W. Wallace.
A standard input format for multiperiod stochastic programs.
Mathematical Programming Society Committee on Algorithms Newsletter, 17:1-20, 1987.
Available on the world wide web at http://ttg.sba.dal.ca/sba/profs/hgassmann/smps.html .

John R. Birge.
Decomposition and partitioning methods for multistage stochastic linear programs.
Operations Research, 33:989-1007, 1985.

J.R. Birge and F.V. Louveaux.
Introduction to Stochastic Programming
Springer-Verlag, New York, 1997.

IBM Corporation.
IBM Optimization Library, 1998.
Electronic publication http://www6.software.ibm.com/es/oslv2/features/lib.htm .

P. Kall and S.W. Wallace.
Stochastic Programming.
John Wiley and Sons, Chichester, England, 1994.

A.J. King.
Stochastic programming problems: Examples from the literature.
in Y. Ermoliev and R. J-B. Wets (eds.), Numerical techniques for stochastic optimization problems, pages 543-567, 1988.

Alan J. King.
SP/OSL version 1.0 stochastic programming interface user's guide.
Technical report, IBM Research Division, Thomas J. Watson Research Center, PO Box 218, Yorktown Heights, NY 10598, USA, 1994.

Alan J. King.
Implementation of dual decomposition in OSL.
Technical Report RC 20316, IBM Research Division, Thomas J. Watson Research Center, PO Box 218, Yorktown Heights, NY 10598, USA, 1995.
Available electronically in Postscript format.

M. Lane and P. Hutchinson.
A model for managing a certificate of deposit portfolio under uncertainty.
In M.A.H. Dempster, editor, Stochastic Programming. Academic Press, 1980.

F.V. Louveaux and Y. Smeers.
Optimal investments for electricity generation: A stochastic model and a test problem.
in Y. Ermoliev and R. J-B. Wets (eds.),Numerical techniques for stochastic optimization problems, pages 445-452, 1988.

M.V.F. Pereira and L.M.V.G. Pinto.
Stochastic optimization of a multireservoir hydroelectric system: A decomposition approach.
Water Resources Research, 21:779-792, 1985.

H. Raiffa.
Decision Analysis: Introductory Lectures on Choices Under Uncertainty.
Addison-Wesley, Reading, 1968.

Richard van Slyke and Roger J-B Wets.
L-shaped linear programs with applications to control and stochastic programming.
SIAM Journal on Applied Mathematics, 17:638-663, 1969.

[ Top of Page | Previous (Examples) | Next (Table of Contents) | Roadmap ]