Introduction
to Stochastic Programming
This textbook is J.R. Birge and Francois Louveaux,
Introduction to Stochastic Programming, Springer Verlag,
New York,
1997. It is aimed at beginning graduate students and advanced undergraduates
with a background in optimization and probability (although some younger
students apparently qualify, viz. Jacob Linderoth, son of Jeff
Linderoth.)
For ordering information, you can check the Springer page at this
location or amazon.com at this
address.
Misprints and Corrections
This list will include misprints and text corrections that we have received.
Please send any that you encounter in looking at the book (john.birge
at chicagogsb.edu). (These are in TeX form.)
Front matter
- page
xvi, the symbol "-" should give $a^-=\max(-a,0)$. ( Thanks to Stuart Corrigall
(SC).)
Chapter 1
- p. 7, Table 4, sales for
sugar beets should also be $6000$. (Thanks to Scott Grasman.)
- p. 8, line 5, "to"
should be inserted before "seek". (SC)
- p. 16, line 11, no transpose
superscript $T$ is necessary. (SC)
- p. 24, line -4, $EV$ should
be $-3.79$; line -1, also replace $3.84$ by $3.79$ and $2.32$ by $2.27$.
(SC)
- p. 41, the expected value for
using the deterministic solution is in fact $-26.79$. The result is that
the VSS is $8.94 - (-26.79)=35.73$. In this case,
the stochastic formulation causes profits to increase from a large loss to
actual profits. (Thanks to Stuart Corrigall from
University of the Witwatersrand for
pointing out that the book calculation was missing the second constraint
violation penalty.)
- p. 46, line 15, the car
should start ``braking" not ``breaking." (SC)
Chapter 2
- p. 54, $T(\omega)$
is $m_2\times n_1$. (SC)
- p. 75, The
dual in (9.2) should have $\pi$ unrestricted.
- p. 78, line 6, the inequality
in the definition of $Lipschitzian$ should be
$|f(x)-f(w)|\le M \|x-w\|$. (Thanks to Robert
Finn.)
Chapter 3
- p. 85, display (1.6), $x$
should multiply $T(\omega)$ not $y$. (Thanks to Wichai Narongwanich (WN).)
- p. 90, line 7, $b$ should be
$b_\lambda$. (SC)
- p. 106, Theorem 18, $x$
should multiply $\bar A_{1\cdot} $ in the
definition of $K_1(\alpha)$. (WN)
- p. 112, Proof of Proposition 22,
$K_2(\xi)$ should be $=\{x | Q(x,\xi) < \infty \}$. (SC)
Chapter 5
- p. 158, (1.7) and (1.8), the
subscript $s$ should be $r$; (1.10) and (1.11) and line after (1.11), the
subscript $t$ should be $s$. (SC)
- p. 169, line -3, ``Step
5" should be ``Step 3." (SC)
Chapter 6
- p. 227, definition of
$\Psi_2$, the second line should have $-20\chi_2$ instead of $-20\chi_1$.
(WN)
Chapter 9
- p. 287, line above (1.3), $c_{B_i}$ should be $q_{B_i}$; line after (1.4) missing end parentheses after
$T(\omega) x$; (1.5), last parenthesis should be after x, $\bar T_i x)$. (WN)
Chapter 10
- p. 333, last two lines of the
statement of Theorem 1: $g^*$ should be $\nabla
{\overline g^*}$.
- p. 333, line 17: In Example
1, the expectation should be $x^2+1$ instead of $x^2$.
- p. 337, two lines after
(2.8): the density $g(\xi)$ should be
$Q(x,\xi)*f(\xi)/{\cal Q}(x)$ (i.e., $f(\xi)$ is missing). (Thanks to Golbon Zakeri for pointing
out these omissions.)
References
- p. 394, line -3, title should
be ``Stochastic quasigradient methods." (SC)
