8 - Stochastic Programming Flashcards
Sensitivity analysis, What-if analysis, Scenario analysis and Stress tests
Stochastic optimization
It minimizes/maximizes an objective function in presence of random parameters
It provides the best solution taking the uncertainty of the parameters into account
Assumption: the true probability distribution of uncertain data is known
Linear deterministic model
Stochastic programming models
Scenario-based representation
Scenario Tree Terminology
Root/leave, Stages, Periods
Scenario Tree Terminology
Paths, number of children, new information
General considerations about SP
How to generate scenarios?
Characteristics of a good scenario generation method
Sampling methods
In-sample stability analysis
Description
In-sample stability analysis
Example
Out-of-sample stability analysis
Description
Out-of-sample stability analysis
Example
Stachstic programming measures
Overview
EVPI (expected value of perfect information)
VSS (value of stochastic solution)
Relations and bounds for EVPI and VSS
Cases for EVPI and VSS
LUSS (loss of using the skeleton solution)
Relations and bounds LUSS
Cases LUSS
LUDS (loss of upgrading the deterministic solution)
Relations and bounds LUDS
Cases LUDS
