Scenario tree reduction for optimisation under uncertainty using sensitivity analysis
نویسندگان
چکیده
منابع مشابه
Scenario tree reduction for multistage stochastic programs
A framework for the reduction of scenario trees as inputs of (linear) multistage stochastic programs is provided such that optimal values and approximate solution sets remain close to each other. The argument is based on upper bounds of the Lr -distance and the filtration distance, and on quantitative stability results for multistage stochastic programs. The important difference from scenario r...
متن کاملScenario Reduction and Scenario Tree Construction for Power Management Problems
Portfolio and risk management problems of power utilities may be modeled by multistage stochastic programs. These models use a set of scenarios and corresponding probabilities to model the multivariate random data process (electrical load, stream flows to hydro units, and fuel and electricity prices). For most practical problems the optimization problem that contains all possible scenarios is t...
متن کاملScenario Reoptimisation under Data Uncertainty
Many dynamic planning and management problems are typically characterised by a level of uncertainty regarding the value of data input such as supply and demand patterns. Assigning inaccurate values to them could invalidate the results of the study. Consequently, deterministic models are inadequate for the representation of these problems where the most crucial parameters are either unknown or a...
متن کاملShort-Term Scheduling Under Uncertainty: Sensitivity Analysis
Synonyms Indices i = tasks j = units n = event points s = states k = scenarios Parameters price(s) = price of state s ρ(s, i), ρ(s, i) = proportion of state s produced, consumed from task i, respectively r(s) = market requirement for state s at the end of the time horizon Vmin(i,j) = minimum capacity of unit j when processing task i Vmax(i,j) = maximum capacity of unit j when processing task i ...
متن کاملIntegrated Inspection Planning and Preventive Maintenance for a Markov Deteriorating System Under Scenario-based Demand Uncertainty
In this paper, a single-product, single-machine system under Markovian deterioration of machine condition and demand uncertainty is studied. The objective is to find the optimal intervals for inspection and preventive maintenance activities in a condition-based maintenance planning with discrete monitoring framework. At first, a stochastic dynamic programming model whose state variable is the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Computers & Chemical Engineering
سال: 2019
ISSN: 0098-1354
DOI: 10.1016/j.compchemeng.2019.03.043