The Value of Information and the Stochastic Solution

Abstract

Stochastic programs have the reputation of being computationally difficult to solve. Many people faced with real-world problems are naturally inclined to solve simpler versions. Frequently used simpler versions are, for example, to solve the deterministic program obtained by replacing all random variables by their expected values or to solve several deterministic programs, each corresponding to one particular scenario, and then to combine these different solutions by some heuristic rule.