A stochastic programming process model for investment planning

DOI10.1016/0305-0548(87)90047-5MaRDI QIDQ579135zbMATH OpenOpenAlexFDO

Authors G. (Anand) Anandalingam

Publication date 1987

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0305-0548(87)90047-5

zbMATH Keywords

industrial processsimple recoursestochastic linear program

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Production models (90B30) Stochastic programming (90C15) Applications of mathematical programming (90C90)

Review text

The usual programming formulation of an industrial process model is extended to incorporate parameters and demand uncertainties by modeling it as a stochastic linear program with simple recourse (SLPR). The SLPR is solved using the less restrictive assumptions that only the mean and variance of the stochastic entities (but not their distribution) are known. An algorithm is derived to solve the particular form of SLPR. The methodology is applied to a study of the steel industry in India as a novel way of modeling investment and economies-of-scale.

Recommendations

• scientific article; zbMATH DE number 1260461
• On solving stochastic production planning problems via scenario modelling
• scientific article; zbMATH DE number 4051352
• scientific article; zbMATH DE number 3959103
• scientific article; zbMATH DE number 2163926

Cites work

• A Stochastic Programming Model
• Analysis of a class of proxy problems
• Approximation Formulas for Stochastic Linear Programming
• Chance-constrained programming
• scientific article; zbMATH DE number 3532701 (Why is no real title available?)
• Short Term Financial Planning under Uncertainty
• Stability in stochastic programming with recourse-estimated parameters
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• Technical Note—Minimax Procedure for a Class of Linear Programs under Uncertainty
• The Simplex Method for Quadratic Programming
• The value of the stochastic solution in stochastic linear programs with fixed recourse

Cited in

(4)

• Applications of stochastic programming under incomplete information
• scientific article; zbMATH DE number 4154172 (Why is no real title available?)
• scientific article; zbMATH DE number 3922405 (Why is no real title available?)
• scientific article; zbMATH DE number 3894769 (Why is no real title available?)

This page was built for publication: A stochastic programming process model for investment planning

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q579135)