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Essays on bounding stochastic programming problems

Many planning problems involve choosing a set of optimal decisions for a system in the face of uncertainty of elements that may play a central role in the way the system is analyzed and operated. During the past decade, there has been a renewed interest in the modelling, analysis, and solution of such problems due to a remarkable development of both new theoretical results and novel computational techniques in stochastic optimization. A prominent approach is to develop upper and lower bounding approximations to the problem along with procedures to sharpen bounds until an acceptable tolerance is satisfied. The contributions of this dissertation are concerned with the latter approach.
The thesis first studies the stochastic linear programming problem with randomness in both the objective coefficients and the constraints. A convex-concave saddle property of the value function is utilized to derive new bounding techniques which generalize previously known results. These approximations require discretizing bounded domains of the random variables in such a way that tight upper and lower bounds result. Such techniques will prove attractive with the recent advances in large-scale linear programming.
The above results are also extended to obtain new upper and lower bounds when the domains of random variables are unbounded. While these bounds are tight, the approximating models are large-scale deterministic linear programs. In particular, with a proposed order-cone decomposition for the domains, these linear programs are well-structured, thus enabling one to use efficient techniques for solution, such as parallel computation.
The thesis next considers convex stochastic programs. Using aggregation concepts from the deterministic literature, new bounds are developed for the problem which are
computable using standard convex programming algorithms. Finally, the discussion is focused on a stochastic convex program arising in a certain resource allocation problem. Exploiting the problem structure, bounds are developed via the Karush-Kuhn-Tucker conditions. Rather than discretizing domains, these approximations advocate replacing difficult multidimensional integrals by a series of simple univariate integrals. Such practice allows one to preserve differentiability properties so that smooth convex programming methods can be applied for solution. / Business, Sauder School of / Graduate
Date January 1991
CreatorsEdirisinghe, Nalin Chanaka Perera
PublisherUniversity of British Columbia
Source SetsUniversity of British Columbia
Detected LanguageEnglish
TypeText, Thesis/Dissertation
RightsFor non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use

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