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Hi: Can anyone recommend an introductory book on stochastic programming ? There are obviously so many books on Amazon but I can't tell easily which ones could be useful. It would be good if it had some balance between theory and application. Thanks.

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  • $\begingroup$ There is a common thread I think for all book recommendations. If someone contributes here we'll try and add it there and then close this question $\endgroup$ – Attack68 Feb 11 at 17:15
  • $\begingroup$ @Attack68: Thanks but where is that common thread ? I'd like to take a look at it. $\endgroup$ – mark leeds Feb 11 at 17:27
  • $\begingroup$ I tried to find it - Its really extensive and I have added to it in the past. Hopefully someone can help me out and then Ill try to pin it somehow $\endgroup$ – Attack68 Feb 11 at 17:58
  • $\begingroup$ A few years ago W. Ziemba wrote a monograph on asset liability management by stochastic programming, perhaps it can serve as a starting point cfainstitute.org/-/media/documents/book/rf-publication/2003/… $\endgroup$ – noob2 Feb 11 at 18:26
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    $\begingroup$ @markleeds here it is.. quant.stackexchange.com/questions/38862/… $\endgroup$ – Attack68 Feb 12 at 7:45

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