Stochastic programming: Difference between revisions

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A stochastic [[linear program]] is a specific instance of the classical two-stage stochastic program. A stochastic LP is built from a collection of multi-period linear programs (LPs), each having the same structure but somewhat different data. The <math>k^{th}</math> two-period LP, representing the <math>k^{th}</math> scenario, may be regarded as having the following form:

<math>

\begin{array}{lccccccc}

\text{Minimize} & f^T x & + & g^T y & + & h_k^Tz_k & & \\

\text{subject to} & Tx & + & Uy & & & = & r \\

& & & V_k y & + & W_kz_k & = & s_k \\

& x & , & y & , & z_k & \geq & 0