Two-Stage Stochastic Linear Programming With Recourse - Hardcover

Mills, David T.

Hardcover

ISBN 10: 1025083458 ISBN 13: 9781025083452

Publisher: Hutson Street Press, 2025

Synopsis

The LP recourse problem applies to two-stage optimization problems where uncertainty in resource availability of the second stage hinders informed decision making. The recourse function affords a way to compensate "later" for an error in prediction "now." The literature provides a rich body of work on the optimization of such problems, but little research has been accomplished regarding the characterization of the surface in the local region of optimality, in particular sensitivity analysis. A decision maker faced with considerations other than the modeled objective function must be presented with a way to estimate the impact of operating at non-optimal decision variable values. This work develops and demonstrates a technique for characterizing the surface using response surface methodology. Specifically, the flexibility and utility of RSM techniques applied to this class of problems is demonstrated, and a methodology for characterizing the surface in the local region using a low-order polynomial is developed.

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Edition details

• Publisher: Hutson Street Press
• Publication date: 2025
• Language: English
• ISBN 10: 1025083458
• ISBN 13: 9781025083452
• Binding: Hardcover
• Number of pages: 92