Introduction

Abstract

In view of the fact that sometimes there seems to be a terminological confusion, it might be useful to try to explain what stochastic linear programming is. There are many practical situations for which — at first glance — linear programs are appropriate models. This is especially the case in production problems with (piecewise) linear production functions and (piecewise) linear cost functions, diet problems with (piecewise) linear cost functions, all other optimal mix problems such as oil-refining, distillation of spirits etc., general network flow problems with (piecewise) linear cost functions, critical path scheduling problems, Hitchcock-type transport problems and so on. It is obvious that these and many similar problems are of great practical importance. For this reason the development of linear programming has been explosive during the last 25 years. Since at the same time there has been an equally remarkable development of the computer technology, linear programming can now be looked on as a standard tool for sloving problems as mentioned above.KeywordsPure StrategyPenalty CostFeasible StrategyGreat Practical ImportanceStochastic Linear ProgrammingThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.