After I read the question robust optimization or stochastic optimization, I am interested in both these topics and I would like to learn both of them. Even if, I have conducted a short internet search to find an introductory books, I could not find what I need. Clearly, I would like to start from ABC of these topics. Are there existing any books what I really search? Thanks in advance

asked 05 Jul '12, 07:29

Pelin's gravatar image

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edited 30 Jan '13, 14:36

fbahr's gravatar image

fbahr ♦

Besides Ben-Tal et al.'s book on RO, "Robust Discrete Optimization and Its Applications" by Kouvelis and Yu is a very good start if you're interested in the scenario-based modeling approach to RO. Also, reading some papers could be useful as they provide good introduction to main results and previous works. Examples are here, here, here, and here.

Regarding SP, a great book used in many courses as the main textbook is "Introduction to Stochastic Programming" by Birge and Louveaux. Your other options are "Lectures on Stochastic Programming: Modeling and Theory" by Shapiro et al., "Stochastic Linear Programming: Models, Theory, and Computation" by Kall and Mayer, and "Stochastic Programming" by Prékopa. Contrary to RO, I recommend you to stick to a book and finish it as papers include many diverse topics which makes it hard to learn the field with reading papers.


answered 05 Jul '12, 10:38

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Ehsan ♦
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Thank you very much for your detailed and to the point comment :) This is exactly what I ask for.

(05 Jul '12, 12:54) Pelin

"Lectures on Stochastic Programming" (mentioned above) is also available for download here (pdf)

(13 Jul '12, 22:00) yeesian

@yeesian, thank you very much for your post, it seems one of the helpful resources to learn SP and sorry for my delaying answer.

(16 Jul '12, 17:02) Pelin

@Pelin, it's no problem (: Actually credit goes to @fbahr, for posting it on reddit. Check out the other online resources on his reddit account!

(16 Jul '12, 22:07) yeesian

Then, thank you @fbahr as well, by the way I have never used reddit before. Your post helps me to learn both SP resource and that site :)

(17 Jul '12, 19:12) Pelin

This paper by Sen and Higle gives a very good introduction to the topic:



answered 05 Jul '12, 08:39

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Thank you very much. It seems a very helpful starting point for SLP.

(05 Jul '12, 08:48) Pelin

There's a book on Robust Optimization by A.Ben-Tal, L. El Ghaoui and A. Nemirovski (monograph available here). Currently, books dedicated to robust optimization are pretty rare! A search for stochastic programming/optimization, should probably turn up more results (for eg, Stochastic Programming by Kall and Wallace), but I haven't read any of them.

Many of them will assume a background in linear/convex optimization at the graduate level, as they tend to cater to the 2nd or 3rd class in a series of graduate-level classes on optimization, so if you're looking for an introduction (that doesn't assume a background in optimization), I think it'll be good to start with books on linear/convex optimization first.


answered 05 Jul '12, 09:24

yeesian's gravatar image

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edited 05 Jul '12, 10:44

Thank you very much for you comment. Actually, I have an MS degree and so strong background especially on linear optimization. Therefore, as in linear optimization books, I am looking for that kind of structured books based on these topics. I have seen the book you mention before, but I am not quiet sure about the perspective of this book. A comment in Amazon states that this book is for the mathematicians and not for engineers. Has anyone used this book? How about your comments about the level and content of the book?

(05 Jul '12, 09:52) Pelin

I think developments in robust optimization constitutes fairly novel research, and so 'applied' books might be in short supply for some time to come.

I have flipped through the book - and I think it is an excellent for people looking for a consolidation of materials that are otherwise scattered across many research papers/classes, but isn't easy w/o a good background in the prerequisites: linear algebra, (real) analysis, probability, and 'mathematical tolerance' (of definitions, lemmas, proofs, etc).

(05 Jul '12, 10:38) yeesian

You might want to have a look at the Stochastic Programming Community home page where you can find references to various resources like books, papers, and tutorials.


answered 31 Dec '12, 07:50

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Asked: 05 Jul '12, 07:29

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Last updated: 30 Jan '13, 14:36

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