Stochastic programming: Difference between revisions

Revision as of 10:07, 27 April 2010

Revision as of 13:27, 10 June 2010

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==Economic Applications==

Stochastic dynamic programming is a useful tool in understanding decision making under uncertainty. The accumulation of capital stock under uncertainty is one example, often it is used by resource economists to analyze [[bioeconomic problems]]<ref> Howitt, R., Msangi, S., Reynaud, A and K. Knapp. 2002. "Using Polynomial Approximations to Solve Stochastic Dynamic Programming Problems: or A "Betty Crocker " Approach to SDP." University of California, Davis, Department of Agricultural and Resource Economics Working Paper. http://www.agecon.ucdavis.edu/aredepart/facultydocs/Howitt/Polyapprox3a.pdf </ref> where the uncertainty enters in such as weather, etc.

== Solvers ==

*[[FortSP]] - solver for stochastic programming problems

== See also ==

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* [[Stochastic optimization]]

* [[Dynamic programming]]

==References==

{{reflistReflist}}

==External links==

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[[Category:Mathematical optimization]]

[[Category:Stochastic algorithms]]

[[ru:Стохастическое программирование]]