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| 確率的整数計画法× | 確率的線形計画法× | |
|---|---|---|
| 分野 | シミュレーション | シミュレーション |
| 系統 | Process / pipeline | Process / pipeline |
| 提唱年 | 1955 | 1955 |
| 提唱者≠ | Dantzig, G. B.; Beale, E. M. L. | George B. Dantzig |
| 種類≠ | Optimization under uncertainty with discrete decisions | Stochastic optimization model |
| 原典≠ | Birge, J. R., & Louveaux, F. (1997). Introduction to Stochastic Programming. Springer, New York. ISBN: 978-1-4614-0237-4 | Dantzig, G. B., & Madansky, A. (1961). On the solution of two-stage linear programs under uncertainty. Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability, 1, 165–176. link ↗ |
| 別名 | SIP, Stochastic IP, Integer Stochastic Programming, Mixed-Integer Stochastic Programming | SLP, Stochastic LP, Linear Programming under Uncertainty, Two-Stage SLP |
| 関連≠ | 6 | 5 |
| 概要≠ | Stochastic Integer Programming (SIP) is an optimization framework that combines integer (discrete) decision variables with explicit probabilistic modeling of uncertainty. It seeks the best here-and-now decision that minimizes expected cost (or maximizes expected benefit) across a distribution of future scenarios, accounting for the fact that some decisions must be made before uncertainty is resolved. | Stochastic Linear Programming (SLP) extends classical linear programming to settings where some model parameters — costs, demands, resource availability — are uncertain and modeled as random variables. By optimizing expected costs over a probability distribution of scenarios, SLP produces decisions that remain feasible and near-optimal across a range of possible futures rather than for a single assumed state of the world. |
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