1 / 62

Stochastic programming

Stochastic programming. Street vendor problem. The farmer problem. Maximizing the Expected Profit (long-run profit, risk-neutral decisions ). Expected Value of Perfect Information (EVPI). Expected Value of Perfect Information (EVPI). Expected Value of Perfect Information (EVPI).

stephenbell
Télécharger la présentation

Stochastic programming

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Stochastic programming

  2. Street vendor problem

  3. The farmer problem

  4. Maximizing the Expected Profit (long-run profit, risk-neutral decisions )

  5. Expected Value of Perfect Information (EVPI)

  6. Expected Value of Perfect Information (EVPI)

  7. Expected Value of Perfect Information (EVPI)

  8. Expected Value of Perfect Information (EVPI)

  9. The Value of the Stochastic Solution (VSS)

  10. The Value of the Stochastic Solution (VSS)

  11. Profits based on Mean Value

  12. Profits based on Mean Value

  13. The Value of the Stochastic Solution (VSS)

  14. General Model Formulation • We have a set of decisions to be taken without full information on some random events, which we call first-stage decisions (x) • Later, full information is received on the realization of some random vector ξ, and second-stage or corrective actions (recourse) y are taken • We assume that the probability distribution of ξ is known a priori • The preceding examples illustrate such models

  15. Two-stage stochastic program with recourse – linear programming implicit form

  16. Value of information for stochastic solution

  17. Expected Value of Perfect Information (EVPI)

More Related