Stochastic Programming Resources

WWW

The Official COSP Stochastic Programming Introduction

Introduction to mathematical programming under uncertainty by Derek Holmes

Stochastic Programming primer from the Optimization Technology Center (Argonne National Laboratory)

OR-notes: Stochastic programming by J.E. Beasley

IMA Audio Recordings: Stochastic Programming. Stochastic Programming Models and Formulation and Analysis of Dynamic Stochastic Optimization Problems: Duality and Optimality Conditions by R. Terry Rockafellar (RA)

SIAG/Optimization Views-and-News 13(1), March 2002, on Optimization under Uncertainty edited by Urmila Diwekar (PDF)

Papers

Stochastic programming computation and applications, INFORMS Journal on Computing 9(2): 111-133, 1997, by John R. Birge (PDF)

Stochastic Programming: Computational Issues and Challenges by Suvrajeet Sen (PDF)

Stochastic programming models: wait-and-see versus here-and-now by Roger J-B Wets (PDF)

Tutorials

Tutorial talks prior to the 11th Int. Conf. on Stochastic Programming (Vienna, 2007): Tutorial talks prior to the 10th Int. Conf. on Stochastic Programming (Tucson, 2004):  Tutorial talks prior to the 9th Int. Conf. on Stochastic Programming (Berlin, 2001):

Lecture notes

Stochastic Programming Lecture Notes by Willem K. Klein Haneveld and Maarten H. van der Vlerk. Available on request (only as hard copy; view Table of contents).

Nine Lectures on Stochastic Programming by Maarten H. van der Vlerk. Transparencies of lectures based on the Lecture Notes mentioned above are available in PDF format:
Lecture 1 Lecture 2 Lecture 3 Lecture 4 Lecture 5
Lecture 6 Lecture 7 Lecture 8 Lecture 9

Optimization under Uncertainty by R.T. Rockafellar (PDF).

An Optimization Primer, An Introduction to Linear, Non-Linear, Large Scale, Stochastic Programming and Variational Analysis by Roger J-B Wets (PDF).

Optimización Estocástica by Andrés Ramos and Santiago Cerisola (PDF).

Stochastic Programming Lecture Notes by Jeff Linderoth (22 lectures, PDF).

Stochastic Programming Lecture Notes by Peter Kall.

Books

John R. Birge and François V. Louveaux. Introduction to Stochastic Programming. Springer Verlag, New York, 1997. (Misprints and corrections).

Peter Kall and Stein W. Wallace. Stochastic Programming. Wiley, Chichester, 1994.
Wiley has released the copyright on the book, and the authors made the text available to the scientific community: it can be downloaded for free. (PDF 1.60MB)

Peter Kall and Janos Mayer. Stochastic Linear Programming: Models, Theory, and Computation.  International Series in Operations Research & Management Science, Vol. 80, Springer, 2005.

Kurt Marti. Stochastic Optimization Methods. Springer, 2005.

Andras Prekopa. Stochastic Programming. Kluwer Academic Publishers, Dordrecht, 1995.

Andrzej Ruszczynski and Alexander Shapiro (eds.). Stochastic Programming. Handbooks in Operations Research and Management Science, Vol. 10, Elsevier, 2003.

Stein W. Wallace and William T. Ziemba (eds.). Applications of Stochastic Programming. MPS-SIAM Book Series on Optimization 5, 2005.

Alexander Shapiro and Andrzej Ruszczynski. Lectures on Stochastic Programming, November 19, 2007 (PDF, 1.65MB) [NEW]

An overview of Books on Stochastic Programming can be found in the list compiled by J. Dupacová, which appeared in

R. J-B. Wets and W. T. Ziemba, editors. Stochastic programming. State of the art 1998. Papers from the 8th International Conference on Stochastic Programming held at the University of British Columbia, Vancouver, BC, August 8-16, 1998, Ann. Oper. Res. 85 (1999).