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the stochastic optimization problem

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The Stochastic Optimization Problem MS&E348 Winter 2011/2012 Professor Gerd Infanger

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Page 1: The Stochastic Optimization Problem

The Stochastic Optimization Problem

MS&E348Winter 2011/2012

Professor Gerd Infanger

Page 2: The Stochastic Optimization Problem

The Stochastic linear program with recourse

Winter 2011/2012 MS&E348/Infanger 2

Page 3: The Stochastic Optimization Problem

For convenience, define

Winter 2011/2012 MS&E348/Infanger 3

Page 4: The Stochastic Optimization Problem

The stochastic optimization problem

Winter 2011/2012 MS&E348/Infanger 4

Page 5: The Stochastic Optimization Problem

The stochastic optimization problem (cont.)

Winter 2011/2012 MS&E348/Infanger 5

Page 6: The Stochastic Optimization Problem

The “wait and see” approach

Winter 2011/2012 MS&E348/Infanger 6

Page 7: The Stochastic Optimization Problem

The “here and now” approach

Winter 2011/2012 MS&E348/Infanger 7

Page 8: The Stochastic Optimization Problem

The “expected value” approach

Winter 2011/2012 MS&E348/Infanger 8

Page 9: The Stochastic Optimization Problem

The “expected value” approach (cont.)

Winter 2011/2012 MS&E348/Infanger 9

Page 10: The Stochastic Optimization Problem

Assessment of the different approaches

Winter 2011/2012 MS&E348/Infanger 10

Page 11: The Stochastic Optimization Problem

Bounds on EVPI and VSS

Winter 2011/2012 MS&E348/Infanger 11

Page 12: The Stochastic Optimization Problem

Winter 2011/2012 MS&E348/Infanger 12

Solutions of the stochastic optimization problem

objective

EVPI VSS

Bound on either EVPI or VSS

Page 13: The Stochastic Optimization Problem

Definitions

Winter 2011/2012 MS&E348/Infanger 13

Page 14: The Stochastic Optimization Problem

Simple recourse

Winter 2011/2012 MS&E348/Infanger 14


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