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Stochastic optimization problems under incomplete information on distribution functions

Control and cybernetics, Vol: 26, Issue: 1, Page: 93-110
1997
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Article Description

In this study we discuss a class of stochastic optimization problems for the cases where parameter of optimization is a probability distribution. The knowledge about this distribution is reduced to fixed values of some of its moments, or quantiles. Examples from reliability maintenance, inventory, and queueing theory illustrate the specific nature of the problems that goes beyond the known frames of the general theory. The article is in the form of a survey of papers relevant to the stated scope, related mainly to some authors and less known results. Relationships with general theory, and discussion on prospective other considerations arc also given.

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