STOCHASTIC LINEAR PROGRAMMING WITH RECOURSE: A TUTORIAL*

Abstract

AbstractPresented here is an introduction to stochastic linear programs with recourse. The paper is by no means a comprehensive survey of the field; that would be an encyclopedic task at best. This paper discusses formulation, interpretation, and computational aspects of stochastic linear programs with simple and fixed recourse. The paper is pedagogical in nature and is aimed to whet the interest of the decision scientist that has little or no background in stochastic programming. Moreover, the papers in this field have appeared in diverse journals not always readily available to the typical management scientist or practitioner and quite often at a very sophisticated mathematical level. For the practitioner, Wets's algorithm for solving stochastic linear programs with simple recourse may be particularly interesting since Wets shows in that paper how the problem can be reduced to an equivalent deterministic linear program of the same dimensionality.