Books on Stochastic Programming

(version June 24, 2005)
This list of books on Stochastic Programming was compiled by J. Dupacová (Charles University, Prague), and first appeared in the state-of-the-art volume Annals of OR 85 (1999), edited by R. J-B. Wets and W. T. Ziemba.
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Books and collections of papers on Stochastic Programming, primary classification 90C15

A. The known ones ~ in English, including translations

  1. G. B. Andreatta, G. Salinetti, and R. J-B. Wets (eds.): Stochastic Programming. Annals of Oper. Res. 56, Baltzer, Amsterdam, 1995.

  2. F. Archetti, G. Di Pillo, and M. Lucertini (eds.): Stochastic Programming. LN in Control and Information Sci. 76, Springer, Berlin, 1986.

  3. J. R. Birge, C. Edirisinghe, and W. T. Ziemba (eds.): Research in Stochastic Programming. Annals of Oper. Res. 100, Kluwer, 2000.

  4. J. R. Birge, and F. Louveaux: Introduction to Stochastic Programming. Springer, New York, 1997.

  5. J. R. Birge, and R. J-B. Wets (eds.): Stochastic Programming. Annals of Oper. Res. 30 and 31, Baltzer, Amsterdam, 1991.

  6. C. Bouza (ed.): Stochastic Programming: The State of the Art. Revista Investigación Operational 14 (1993), No. 2-3.

  7. M. A. H. Dempster (ed.): Stochastic Programming. Academic Press, London, 1980.

  8. M. A. H. Dempster (ed.): Proceedings of the IIASA Task Force Meeting in Stochastic Optimization. Stochastics 10 (1983), No. 3-4.

  9. J. Dupacová, J. Hurt, and J. Stepán: Stochastic Modeling in Economics and Finance. Applied Optimization Vol. 75, Kluwer, 2002.

  10. Yu. Ermoliev and R. J.-B. Wets (eds.): Numerical Techniques for Stochastic Optimization Problems. Springer, Berlin, 1988.

  11. K. Frauendorfer: Stochastic Two-Stage Programming. LN in Economics and Math. Systems 392, Springer, Berlin, 1992.

  12. J. Guddat, F. Guerra, K. Tammer, and K. Wendler: Multiobjective and Stochastic Optimization Based on Parametric Optimization. Akademie-Verlag, Berlin, 1985.

  13. G. Hellwig, P. Kall, and P. Abel (eds.): Statistical Methods for Decission Processes. Daimler Benz AG, Stuttgart-Möhringen, 1994.

  14. J. Higle, and S. Sen: Stochastic Decomposition. A Statistical Method for Large Scale Stochastic Linear Programming. Kluwer, Dordrecht, 1996.

  15. G. Infanger: Planning under Uncertainty: Solving Large-Scale Stochastic Linear Programs. Boyd and Fraser, Danvers, 1994.

  16. P. Kall: Stochastic Linear Programming. Springer, Berlin, 1976.

  17. P. Kall and A. Prékopa (eds.): Recent Results in Stochastic Programming. LN in Economics and Math. Systems 179, Springer, Berlin, 1980.

  18. P. Kall and S. W. Wallace: Stochastic Programming. Wiley, Chichester, 1994.

  19. P. Kall and J. Mayer: Stochastic Linear Programming: Models, Theory, and Computation. Springer, 2005.

  20. A. I. Kibzun and Y. S. Kan: Stochastic Programming Problems with Probability and Quantile Functions. Wiley, Chichester, 1996.

  21. A. J. King (ed.): Approximation and Computation in Stochastic Programming. Mathematical Programming B 75, No. 2, North-Holland, Amsterdam, 1996.

  22. W. K. Klein Haneveld: Duality in Stochastic Linear and Dynamic Programming. LN in Economics and Math. Systems 274, Springer, Berlin, 1985.

  23. W. K. Klein Haneveld and M. H. van der Vlerk: Stochastic Programming, Lecture Notes, 2004. (Available on request by e-mail.)

  24. V. V. Kolbin: Stochastic Programming. Reidel, Dordrecht, 1977.

  25. K. Marti: Descent Directions and Efficient Solutions in Discretely Distributed Stochastic Programs. LN in Economics and Math. Systems 299, Springer, Berlin, 1988.

  26. K. Marti (ed.): Stochastic Optimization. Numerical Methods and Technical Applications. LN in Economics and Math. Systems 379, Springer, Berlin, 1992.

  27. K. Marti: Stochastic Optimization Methods. Springer, 2005.

  28. K. Marti, and P. Kall (eds.): Stochastic Optimization: Numerical Techniques and Engineering Applications. LN in Economics and Math. Systems 423, Springer Berlin, 1995.

  29. K. Marti, and P. Kall (eds.): Stochastic Programming Methods and Technical Applications. LN in Economics and Math. Systems 458, Springer, Berlin, 1998.

  30. J. Mayer: Stochastic Linear Programming Algorithms: A Comparison Based on Model Management Systems. Gordon and Breach Sci. Publ., 1998.

  31. G. Ch. Pflug: Optimization of Stochastic Models. The Interface between Simulation and Optimization. Kluwer, Dordrecht, 1996.

  32. G. Ch. Pflug, and A. Ruszczy\'nski (eds.): Thirteenth EURO Summer Institute: Stochastic Optimization. EJOR 101, No. 2, North-Holland, Amsterdam, 1997.

  33. A. Prékopa: Stochastic Programming. Kluwer, Dordrecht and Académiai Kiadó, Budapest, 1995.

  34. A. Prékopa (ed.): Studies in Applied Stochastic Programming. MTA SzTAKI, Budapest, 80/1978 and 167/1985.

  35. A. Prékopa and A. Ruszczynski (eds.): Optimization Methods and Software Vol. 17 (2002) No. 3, Special Issue on Stochastic Programming.

  36. A. Prékopa, and R. J.-B. Wets (eds.): Stochastic Programming 84. Math. Progr. Study 27 and 28, North-Holland, Amsterdam, 1986.

  37. S. T. Rachev, and W. Römisch (eds.): Stochastic Programming: Stability, Numerical Methods and Applications. J. of Computational and Applied Mathematics 56 (1994), No. 1-2.

  38. R. Y. Rubinstein, and A. Shapiro: Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization by the Score Function Method. Wiley, New York, 1993.

  39. A. Ruszczynski and A. Shapiro (eds): Stochastic Programming. Handbook in Operations Research and Management Science Vol. 10, Elsevier, 2003.

  40. J. K. Sengupta: Stochastic Programming. Methods and Applications. North-Holland, Amsterdam, 1972.

  41. J. K. Sengupta: Optimal Decisions under Uncertainty. LN in Economics and Math. Systems 193, Springer, Berlin, 1981.

  42. J. K. Sengupta: Decision Models in Stochastic Programming: Operational Methods of Decision Making under Uncertainty. North Holland Ser. in System Sci. and Engineering, Vol.7, North Holland, New York, 1982.

  43. I. M. Stancu-Minasian: Stochastic Programming with Multiple Objective Functions. Editura Academiei and Reidel, Dordrecht, 1984.

  44. L. Stougie: Design and Analysis of Algorithms for Stochastic Integer Programming. CWI Tract. 37, Stichting Math. Centrum, Amsterdam, 1987.

  45. S. P. Uryasev (ed.): Probabilistic Constrained Optimization: Methodology and Applications. Nonconvex Optimization and its Applications, Vol. 49, Kluwer, 2001.

  46. S. P. Uryasev and P. M. Pardalos (eds): Stochastic Optimization: Algorithms and Applications. Applied Optimization Vol. 54, Kluwer, 2001.

  47. M. H. van der Vlerk: Stochastic Programming with Integer Recourse. Labyrint Publ., 1995.

  48. S. Vajda: Probabilistic Programming. Academic Press, New York, 1972.

  49. H. Vladimirou, S. A. Zenios, and R. J-B. Wets (eds.): Models for Planning under Uncertainty. Annals of Oper. Res. 59, Baltzer, Amsterdam, 1995.

  50. S. W. Wallace, J. Higle, and S. Sen (eds.): Stochastic Programming, Algorithms and Models. Annals of Oper. Res. 64, Baltzer, Amsterdam, 1996.

  51. S. W. Wallace and W. T. Ziemba (eds.): Applications of Stochastic Programming, SIAM Mathematical Series on Optimization, 2005.

  52. R. J.-B. Wets and W. T. Ziemba (eds.): Stochastic Programming: State of the Art, 1998, Annals of Oper. Res. 85, Baltzer, Amsterdam, 1999.

  53. D. L. Woodruff (ed.): Network Interdiction and Stochastic Integer Programming. Kluwer, 2002.

B. Books in other languages whose translation is not listed under A

  1. P. Abel: Stochastische Optimierung bei partieller Information. Math. Systems in Economics 96, Athäneum/Hein/Hanstein, Königstein/Ts., 1984, in German.

  2. T. Abel u. R. Thiel: Mehrstufige stochastische Produktionsmodelle - Eine praxisorientierte Darstellung mit programmierten Beispielen. Fischer Verlag, Frankfurt a. M., 1981, in German.

  3. K.-P. Arnold: Stochastische Transportprobleme. Dr. Kovac, Hamburg, 1987, in German.

  4. J. Böttcher: Stochastische lineare Programme mit Kompensation. Athenäum, Frankfurt a.M., 1989, in German.

  5. J. Dupacová: Stochastic Programming. MS CSR, Prague, 1986, in Czech.

  6. Yu. M. Ermoliev: Methods of Stochastic Programming. Nauka, Moscow, 1976, in Russian.

  7. Yu. M. Ermoliev and A. I. Yastremski: Stochastic Models and Methods in Economic Planning. Nauka, Moscow, 1979, in Russian.

  8. M. M. Faber: Stochastisches Programmieren. Physica-Verlag, Würzburg - Wien, 1970, in German.

  9. Yu.M. Kaniovski, P.S. Knopov, and Z.V. Nekrylova: Limit Theorems for Stochastic Programming Processes. Naukova dumka, Kiev, 1980, in Russian.

  10. I.N. Kovalenko: Probabilistic Calculation and Optimization. Naukova dumka, Kiev, 1989, in Russian.

  11. K. Marti: Approximationen stochastischer Optimierungsprobleme. Math. Systems in Economics 43, A. Hain, Königstein/Ts., 1979, in German.

  12. F. Mirzoakhmedov: Mathematical Models and Methods for Production Control Taking Random Factors into Account. Naukova Dumka, Kiev, 1991, in Russian.

  13. F. Mirozakhmedov and M.V. Mikhalevich: Applied Aspects of Stochastic Programming. Maorif, Dushanbe, 1989, in Russian.

  14. J.T. Rembold: Stochastische lineare Optimierung. Mathematical Systems in Economics, No. 31. A. Hain, Meisenheim am Glan, 1977, in German.

  15. A. H. Schneeweiss: Entscheidungskriterien bei Risiko. Springer, Berlin, 1967, in German.

  16. M. Schürle: Zinsmodelle in der Stochastischen Optimierung mit Anwendungen im Asset & Liability Management, Series Bank- und finanzwirtschaftliche Forschungen, B. 279. Paul Haupt, Bern, 1998.

  17. S.P. Uryas'ev: Adaptive Algorithms of Stochastic Optimization and Game Theory. Nauka, Moscow, 1990, in Russian.

  18. Jinde Wang: Stochastic Programming. Chinese Presses, Beijing, 1990, in Chinese.

  19. M. Werner: Stochastische lineare Optimierungsmodelle. Akademische Verlagsgesellschaft, Frankfurt am Main, 1973, in German.

  20. H. Wolf: Entscheidungsfindung bei der stochastischen linearen Optimierung durch Entscheidungsmodelle mit mehrfacher Zielsetzung. Math. Systems in Economics, 84, Athäneum/ Hein/Hanstein, Königstein/Ts., 1983, in German.

  21. A.I. Yastremski: Stochastic Models of Mathematical Economics. Lybid, Kiev, 1983, in Russian.

  22. D. B. Yudin: Mathematical Methods of Management under Incomplete Information. (Problems and Methods of Stochastic Programming). Soviet Radio, Moscow, 1974, in Russian.

  23. D. B. Yudin: Problems and Methods of Stochastic Programming. Soviet Radio, Moscow, 1979, in Russian.

Books and collections of papers with secondary classification 90C15

  1. V. I. Arkin, and I. V. Estigneev: Stochastic Models of Control and Economic Dynamics. Nauka, Moscow, 1979, in Russian. English translation by E. A. Medova-Dempster, and M. A. H. Dempster, Academic Press, London. 1987.

  2. V. I. Arkin, A. Shiraev, and R. Wets (eds.): Stochastic Optimization . Proceedings of the International Conference, Kiev, 1984. LN in Control and Information Sciences 81, Springer, Berlin, 1986.

  3. T. Bäck: Evolutionary Algorithms in Theory and Practice. The Clarendon Press, Oxford University Press, New York, 1996.

  4. V.D. Batukhtin, and L.A. Maboroda: Optimization of Discontinuous Functions. Nauka, Moscow, 1984, in Russian.

  5. V.A. Bodner, N.E. Rodnishchev, and E.P. Yurikov: Optimization of Terminal Stochastic Systems. Mashinostroenie, Moscow, 1987, in Russian.

  6. R. Cairoli, and R.C. Dalang: Sequential Stochastic Optimization. Wiley, New York, 1996.

  7. A. H. Christer, S. Osaki, and L. C. Thomas (eds.): Stochastic Modelling in Innovative Manufacturing. LN in Economics and Math. Systems 445, Springer, Berlin, 1997.

  8. G. B. Dantzig, M. A. H. Dempster, and M. Kallio (eds.): Large Scale Linear Programming, Vols. 1 and 2. IIASA, Laxenburg, 1981.

  9. M.H.A. Davis: Markov Models and Optimization. Chapman & Hall, London, 1993.

  10. W. Dinkelbach: Entscheidungsmodelle. W. de Gruyter, Berlin, 1982, in German.

  11. E.B. Dynkin, and A.A. Yushkevich: Controllable Markov Processes and their Applications. Nauka, Moscow, 1975, in Russian.

  12. A.M. Gupal: Stochastic Methods for Solving Nonsmooth Extremal Problems. Naukova dumka, Kiev, 1979, in Russian.

  13. P.A. Ivashchenko: Adaptation in Economics. Vishcha Shkola, Kharkov, 1986, in Russian.

  14. O. L. R. Jacobs, M. H. A. Davis, M. A. H. Dempster, C. J. Harris, and P. C. Parks (eds.): Analysis and Optimization of Stochastic Systems. Academic Press, London, 1980.

  15. V.Ya. Katkovnik: Numerical Methods for Solving Deterministic and Stochastic Minimax Problems. Kiev, Naukova dumka, 1979, in Russian.

  16. H. Konno, J. Mulvey, and A. Ruszczy\'nski (eds.): Special Issue of Mathematical Programming on Financial Modeling 89 B, No. 2, 2001.

  17. I.N. Kovalenko, and A.A. Nakonechny: Approximate Calculation and Optimization of Reliability. Naukova dumka, Kiev, 1989, in Russian.

  18. V.G. Kulkarni: Modeling and Analysis of Stochastic Systems. Chapman & Hall, London, 1995.

  19. K. Marti (ed.): Structural Reliability and Stochastic Structural Optimization. Math. Methods Oper. Res. 46, No. 3. Physica-Verlag, Heidelberg, 1997, in German.

  20. V.S. Mikhalevich, A.M. Gupal, and V.I. Norkin: Methods of Nonconvex Optimization. Nauka, Moscow, 1987, in Russian.

  21. J. Mockus, W. Eddy, A. Mockus, L. Mockus, and G. Reklaitis: Bayesian Heuristic Approach to Discrete and Global optimization. Nonconvex Optimization and its Applications, 17. Kluwer, Dordrecht, 1997.

  22. J. Mockus: Bayesian Approach to Global Optimization. Mathematics and its Applications (Soviet Series), 37. Kluwer, Dordrecht, 1989.

  23. G. Mihoc, and I. Nadejde: Mathematical Programming: Parametric, Nonlinear and Stochastic. Edutura Stiintifica, Bucurest, 1966, in Rumanian.

  24. E.A. Nurminsky: Numerical Methods for Solution of Deterministic and Stochastic Minimax Problems. Naukova dumka, Kiev, 1979, in Russian.

  25. Osaki S., D.N.P. Murthy, and R.J. Wilson (eds.): Stochastic Models in Engineering, Technology and Management. Papers from the Australian-Japan Workshop held on the Gold Coast, July 14-16, 1994. Math. Comput. Modelling 22, No. 10-12. Pergamon Press, Exeter, 1995.

  26. A. S. Poznyak and K. Naim: Learning Automata and Stochastic Optimization, Springer, London, 1997.

  27. L.A. Rastrigin: Adaptation of Complex Systems. Zinatne, Riga, 1981, in Russian.

  28. R. Slowinski, and J. Teghem (eds.): Stochastic versus Fuzzy Approaches to Multiobjective Mathematical Programming under Uncertainty. Theory and Decision Library. Series D: System Theory, Knowledge Engineering and Problem Solving, 6. Kluwer, Dordrecht, 1990.

  29. G. S. Tarasenko: Stochastic Optimization in the Soviet Union. Random Search Algorithms. Monograph Series on Soviet Union, Delphic Associates, Falls Church, 1985.

  30. H. Vladimirou, I. Maros, and G. Mitra (eds.): Applied Mathematical Programming and Modeling IV (APMOD 98), Annals of Oper. Res. 99, Kluwer, 2000.

  31. S. W. Wallace (ed.): Modelling: In Memory of Asa Halefford, Annals of Oper. Res. 82, Balzer, 1998.

  32. D.L.Woodruff (ed.): Advances in Computational and Stochastic Optimization, Logic Programming, and Heuristic Search. Kluwer, Boston, 1998.

  33. G. Yin, and Q. Zhang (eds.): Recent Advances in Control and Optimization of Manufacturing Systems. LN in Control and Information Sci. 214, Springer, London, 1996.

  34. M.K. Zavrieva: A Combined Penalty and Stochastic Quasigradient Method for the Search for a Connected Maximin. Akad. Nauk SSSR, Vychisl. Tsentr, Moscow, 1989, in Russian.

  35. A. A. Zenios, and W. T. Ziemba (eds.): Financial Modeling, Focused Issue. Manag. Sci. 38 (1992), No. 11.

  36. A.A. Zhigljavsky (ed.): Stochastic Optimization. Acta Appl. Math. 33, No. 1. Kluwer, Dordrecht, 1993.

  37. A.A. Zhigljavsky: Theory of Global Random Search. Mathematics and its Applications (Soviet Series), 65. Kluwer, Dordrecht, 1991.

  38. R. Zielinsky, and P. Neumann: Stochastic Methods in the Search for the Minimum of a Function. Mathematical Research 16, Akademie-Verlag, Berlin, 1983, in German.

  39. W. T. Ziemba, and J. M. Mulvey (eds.): Worldwide Asset and Liability Management. Cambridge Univ. Press, 1998.

  40. W. T. Ziemba, and R. G. Vickson (eds.): Stochastic optimization models in finance. Academic Press, New York, 1975.


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