期刊
MATHEMATICAL PROGRAMMING
卷 106, 期 3, 页码 423-432出版社
SPRINGER HEIDELBERG
DOI: 10.1007/s10107-005-0597-0
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Stochastic programming is the subfield of mathematical programming that considers optimization in the presence of uncertainty. During the last four decades a vast quantity of literature on the subject has appeared. Developments in the theory of computational complexity allow us to establish the theoretical complexity of a variety of stochastic programming problems studied in this literature. Under the assumption that the stochastic parameters are independently distributed, we show that two-stage stochastic programming problems are #P-hard. Under the same assumption we show that certain multi-stage stochastic programming problems are PSPACE-hard. The problems we consider are non-standard in that distributions of stochastic parameters in later stages depend on decisions made in earlier stages.
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