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1、“SPbook”ii2009/5/4pageiiiLecturesonStochasticProgramming:ModelingandTheoryAlexanderShapiroDarinkaDentchevaAndrzejRuszczynski′TobepublishedbySIAM,Philadelphia,2009.iiii“SPbook”ii2009/5/4pageiiiiDarinkaDentchevaDepartmentofMathematicalSciencesStevensIns
2、tituteofTechnologyHoboken,NJ07030,USAAndrzejRuszczynski′DepartmentofManagementScienceandInformationSystemsRutgersUniversityPiscataway,NJ08854,USAAlexanderShapiroSchoolofIndustrialandSystemsEngineeringGeorgiaInstituteofTechnologyAtlanta,GA30332,USAThea
3、uthorsdedicatethisbook:toJulia,Benjamin,Daniel,NatanandYael;toTsonka,KonstatinandMarek;andtotheMemoryofFeliks,Maria,andDentcho.iiii“SPbook”ii2009/5/4pageiiiiiPrefaceThemaintopicofthisbookareoptimizationproblemsinvolvinguncertainparame-ters,forwhichsto
4、chasticmodelsareavailable.Althoughmanywayshavebeenproposedtomodeluncertainquantities,stochasticmodelshaveprovedtheir?exibilityanduseful-nessindiverseareasofscience.Thisismainlyduetosolidmathematicalfoundationsandtheoreticalrichnessofthetheoryofprobabi
5、lityandstochasticprocesses,andtosoundstatisticaltechniquesofusingrealdata.Optimizationproblemsinvolvingstochasticmodelsoccurinalmostallareasofsci-enceandengineering,sodiverseastelecommunication,medicine,or?nance,tonamejustafew.Thisstimulatesinterestin
6、rigorouswaysofformulating,analyzing,andsolvingsuchproblems.Duetothepresenceofrandomparametersinthemodel,thetheorycombinesconceptsoftheoptimizationtheory,thetheoryofprobabilityandstatistics,andfunctionalanalysis.Moreover,inrecentyearsthetheoryandmethod
7、sofstochasticprogramminghaveundergonemajoradvances.Allthesefactorsmotivatedustopresentinanaccessibleandrigorousformcontemporarymodelsandideasofstochasticprogramming.Wehopethatthebookwillencourageotherresearcherstoapplystochasticprogrammingmodelsandtou
8、ndertakefurtherstudiesofthisfascinatingandrapidlydevelopingarea.Wedonottrytoprovideacomprehensivepresentationofallaspectsofstochasticprogramming,butweratherconcentrateontheoreticalfoundationsandrecentadvancesinselectedareas.Thebookisorganizedi
