Stochastic Programming (SP) is an active research area having important real-world applications, and close links with other branches of Operational Research. SP research focuses on the formulation and solution of stochastic optimization problems, i.e., optimization problems whose parameters are random variables. The fact that every strategic decision is made in the presence of uncertainty is a clear evidence for the practical importance of SP. Important fields of application are energy and water management, and finance. Emerging ones are healthcare, agriculture and sustainable development.

Characteristic examples are: production and distribution system design; financial portfolio restructuring; hydrothermal electric generation planning; oil, hydrocarbon and chemical supplying; transformation and distribution logistics; strategic and tactical production planning; sequencing and scheduling; strategic & tactical supply chain management; revenue management; production planning dimensioning and location; plant location & sizing in strategic supply chain management; road construction selection in forestry harvesting planning; design of connected rapid transit networks; tactical portfolio planning in the natural gas supply chain; prison facility site selection under uncertainty; air traffic flow management planning; flight routes selection; cluster location in multi-period copper extraction planning in mining; multiperiod location-assignment; energy generation capacity expansion planning and sources location for a price taker; financial branches restructuring and delocation; humanitarian logistics under exogenous & endogenous uncertainty; antiterrorism defence under exogenous & endogenous uncertainty; and many others.

Characteristic SP models include two- and multistage constructions, and diverse types of chance-constrained formulations. Present demand led to the evolution of integer SP models. Recent developments include equilibrium and bilevel models, and risk-averse formulations.

In order to formulate a SP problem, we need a characterization of the (joint) distribution of the random variables that constitute its parameters. The resulting problems are often nonlinear and sometimes nonconvex. Most SP solution methods incorporate simulation-based approximation (e.g., sample average approximation, stochastic approximation, stochastic gradient methods). Hence SP has close links with mathematical statistics and stochastic modelling, as well as with linear, convex, and integer programming.

There exists an elected body called the Committee on SP (COSP) whose purpose is to coordinate the activities of the informal worldwide SP Community. COSP exists as a Technical Section of the Mathematical Optimization Society, and also serves as a liaison to related professional societies. The SP Community, with the coordination of COSP, organizes the International Conference on Stochastic Programming (ICSP) every third year. COSP also awards a Student Paper Prize at these conferences.

There is a strong SP community in Europe, and we play an important role in European OR activities. E.g., our substantial presence at the EURO conferences witnesses this.

The purpose of this new Working Group is to strengthen the collaboration within the European SP community in order to advance SP research, education, and applications. We intend to collaborate with related EURO Working Groups, and to coordinate our activities with those of the European national OR Societies. Moreover we intend to collaborate with COSP on a mutual basis, in promoting the development and application of SP theory, models, methods, analysis, software tools and standards, and encouraging the exchange of information among practitioners and scholars.

Our WG has innate connections with many existing EWGs, but no existing EWG covers our field. Several methodology-oriented EWGs have common interests with us. The EWG on Stochastic Modelling focuses on the description and modelling of stochastic processes, and on the analysis of queueing systems, using related methods and techniques, with applications in logistics, finance, telecommunications, etc. Though there are common fields of application, the professional backgrounds of the members of the EWG on Stochastic Modelling are significantly different from ours. Consequently, the models, methods, and tools they use are significantly different from those we use. Typical SP models and methods are characteristic mathematical programming models and methods. We study and describe the distributions of random variables in order to develop such models and methods.

A further example is EWG EUROPT that focuses on continuous optimization. Many SP problems fall into this category, but decision making under risk and uncertainty are not in the focus of this group, and the special features of the resulting stochastic programming problems are hardly considered.

Our Group has common interest also with ECCO, the EWG on Combinatorial Optimzation (one of the oldest EWGS). They frequently deal with random variables, mainly in the objective functions of combinatorial optimization problems.

Every application-oriented EWG can profit from using SP models, methods, and software tools in our view.

Our main objectives are

-to promote and support the organization of SP related conferences (workshops), or streams at large conferences, as EURO, INFORMS, IFORS meetings;

- to organize and support SP related workshops (spring/summer/autumn/winter schools) for young scientists and PhD students;

- to promote and support special issues of OR journals focused on SP theory, models, methods, analysis, software tools, and applications, with a special emphasis on EJOR and the three newly launched EURO journals;

- to organize EWGSP annual meetings;

- to interact with other EWGs.

In 2012, the Special Workshop ā€œStochastic Programming for Implementation and Advanced Applicationsā€¯ (STOPROG-2012), was organized in Neringa, Lithuania, under the auspices of the SP Community and EURO, as a satellite event of the EURO XXV conference. A volume of ISI Proceedings was published.

A SP stream was organized at the 25th European Conference on Operational Research (EURO XXV) held in Vilnius.

In 2013, we plan to promote and support the following events, in cooperation with the SP Community and COSP:

- PhD Winter School on SP with applications in energy and natural resources, to be held in Tignes, France (in 7-13 April).

- SP related streams at the EURO XXVI ā€“ INFORMS Joint International Conference to be held in Rome (in 1-4 July).

- The 13th International Conference on Stochastic Programming (ICSP) to be held in Bergamo (in 8-12 July).

- The preparation of a SP related special issue in a selected OR journal, e.g., EJOR, to be compiled from talks presented at the EURO ā€“ INFORMS and/or the ICSP conferences, and accepted under the regular review process.

- The organization of the first EWGSP annual meeting, at either the EURO ā€“ INFORMS or the ICSP conferences. The annual meetings for the next years can be organized either as parts of EURO-k conferences, or independently of those conferences, but, in any case, a EWGSP business meeting is planned to be organized at every EURO-k conference.

Moreover we plan to develop our existing homepage, in cooperation and coordination with the EURO homepage.

The creation of the Working Group was initiated during the Special Workshop ā€œStochastic Programming for Implementation and Advanced Applicationsā€¯ (STOPROG-2012), held on July 3-6, 2012, in Neringa, Lithuania. The Workshop was organized under the auspices of the SP Community and EURO, as a satellite event of the EURO XXV conference. Participants of STOPROG-2012 approved the creation of the EWG on Stochastic Programming.

Informal discussion about the purposes, activities and creation of the new EWG continued among the European SP Community.

A special COSP meeting was held during the 21st International Symposium on Mathematical Programming (ISMP), in August 2012, Berlin. Here COSP agreed to collaborate with EWGSP, and to coordinate activities with those of the new EWG.

The initial Management Board (MB) of EWGSP consists of the 4 European COSP members, and 4 members elected by the founding members of the EWG. The full list of MB members is:

Marida Bertocchi, University of Bergamo, Italy;

Giorgio Consigli, University of Bergamo, Italy;

Laureano F. Escudero, University of Rey Juan Carlos, Spain;

Csaba Fabian, Kecskemet College, Hungary;

Stein-Erik Fleten, NTNU, Norway;

Milos Kopa, Charles University in Prague, Czech Republic;

Leonidas Sakalauskas, VU Institute of Mathematics and Informatics, Lithuania;

Asgeir Tomasgard, NTNU, Norway.

The following Officers were elected by the MB, and appointed with its approval:

Csaba Fabian, Kecskemet College, Hungary (chair);

Milos Kopa, Charles University in Prague, Czech Republic (secretary);

Giorgio Consigli, University of Bergamo, Italy (treasurer).

The above Officers are the Coordinators of the Working Group. Non-coordinator Officers of the Working Group are:

Vittorio Moriggia, University of Bergamo, Italy (website editor);

Virginijus Marcinkevicius, VU Inst. of Math. and Informatics, Lithuania (webmaster).

Any scholar or practitioner of SP can be a member of EWGSP, providing she/he accepts the EURO Charters.

The activities of EWGSP are coordinated by the Management Board, directly elected by balloting every two years by the members of the EWG, except for the initial MB. The MB elects a Chair. The Chair, with the approval of the MB, shall appoint other Officers of EWGSP, and shall establish committees, appoint members and chairpersons of these committees, as needed to carry out the business of EWGSP.
Only members of the European national OR Societies can be elected as Coordinators.

A list of the founding members of EWGSP is attached to this document.

We have informal connections with many enterprises working in SP related fields, e.g.:

- AORDA, American Optimal Decisions / Advisors, USA, http://www.aorda.com/;

- FrontLine Solvers, USA, http://www.solver.com/;

- IBM Research Lab at ZĆ¼rich, Switzerland;

- OptiRisk Systems, UK, http://www.optirisk-systems.com/;

- SAP Labs Hungary.

Moreover, many other European companies and financial institutions are active or potential practitioners of SP, e.g.:

- CLH, Spain;

- Daimler AG, Germany;

- ENDESA, Spain;

- ENEL, Italy;

- IBERDROLA, Spain;

- SAP AG, Germany;

- UNILEVER, UK.

All these enterprises could be interested in participating in the work of EWGSP.

As an evidence of our strong links with other interest groups and professional organizations, we list the connections of the Coordinators:

Marida Bertocchi is a member of the Italian Operational Research Society, of EFA (European Financial Association), AMASES (Italian Mathematical Society for Social and Economical Sciences), UMI (Italian Mathematical Society), SIMAI (Italian Society for Mathematics Applied to Industry), AIFIRM (Italian Society for Financial Risk Management), and MOS.

Giorgio Consigli is a member of the Committee on SP (COSP), a member of the Management Board of EWGFM (the EWG on Financial Modelling), a member of the Italian Operational Research Society, and the Coordinator of the Technical Session on SP within this Society.

Laureano F. Escudero, a former EURO President, is a member of ECCO (the EWG on Combinatorial Optimization), EUROPT (the EWG on Continuous Optimization), EWGLA (the EWG on Location Analysis), and a member of MOS, INFORMS, SIAM and SEIO (the Spanish Statistics & Operations Research Society).

Csaba Fabian is a member of the Committee on SP (COSP), Vice President of the Hungarian OR Society, a member of EUROPT (the EWG on Continuous Optimization), and of a member of MOS.

Stein-Erik Fleten is a member of the Committee on SP (COSP), and a member of INFORMS and IAEE (the International Association for Energy Economics).

Milos Kopa is a member of the Czech OR Society, and a member of EWGFM (the EWG on Financial Modelling) and EUROPT (the EWG on Continuous Optimization).

Leonidas Sakalauskas is President of the Lithuanian OR Society and a member of EUROPT (the EWG on Continuous Optimization).

Asgeir Tomasgard is Chair of the Committee on SP (COSP), and a member of MOS, INFORMS, and IAEE (the International Association for Energy Economics).

These links will enable active collaboration with many EURO Working Groups, national OR Societies, and other professional organizations. We highlight EWGFM, ECCO, and EUROPT because of the already existing friendly relationships between these EWGs and ours.

Proposal pdf file is here.