Operations Research Csetroce of Dectsme Mating) Deter monis He Stoclaske / Sdatstical Lirene Progreneniny Applied Probability Nestiater Programming Stabvehieal Avalyser Integer Prosramening Qururing Theory Netuerk Op timizetin Streluske hcerer Longe seale Optuisaton Srmsulatron Conver Optimian ton Relrabi lity, Coubinatertal Opfimiseton Trme Serres Stockaske Programming Stochasiee Dynswe Prog vm otminy Stoclustre Contre! Simulatwn — optintaaters SHockastre pregvamming thar te de uncertainty With optarzetms under Because TH deals UK ophuiacto, we will ae on cacegt Fem, Wrrcar/ non acer / integer / network | lerse-scale optimi datos Becoe deals with uncerhinty, will draw on Hels fon: prolability (mathematical staibeer / simulator , Gewceat Birmulaton Beg strehestre ms EL (4, ¥) 5A EL (nt) £0, rE ESR. foram 1 Es a “deleemmiste” set, ne, does not involve Pandomuess02 Muck (bat met all] of whet we diccuce will instead Tavelue min E £0, 5) Sh xe EB, Here, Fis 0 rancden Utchr with suport & “hes specificeton 16 tee general fir undtestonding the role of uncertamty 1a the dteteima- making process, se lets try te stort with an LP ant inteduce Uncertainty ta thet seffing. LP Antons Wn oe se CLP) sh Axe SHE eerie Ce) prnportionality 20 Ga) arastity certainty, Relretors of C)sCiw) leat te other Hyper of mathenne fecal programs? nontintee / inteser/ Sthubarkee 2reScem OF course, “thse arecd mutually exclusive. We con Waves stebashe iadege prosvaes Stoclaste nonlinear progran ete. Fn stochashte lene of the perametes disbibudon, whi dloralt deprad on will gtlow some Programming we CAybic) fe ke random with kweua, x.we These ore tere significant assumptions. fone if the “kusua ais hilistee” otsumpinn (demanding, using (LP) te assume a tnewa point forecast. Moreover, often the soluton fh a stochashe provem moter a gualitatne change as we 9% fom one scenario ty tue or three scenevies. Comms fom a stochastic models ov Simulatron pevapective, the assumptan that The durbibutos doesnt depend on % iS often not Ceasenable (because trpectdinas ave Git vespeet fo steady-state dishibudmy whee degent on The syskun desta, te, os &)- Tn the mattematecal Prosvinming Setting, whae the raudomacse TS enogeneus thir re offen a mild assumption Rendese veehe actedeen Ets a remdem vector — Curt 4ilde) $oots a genevre realraaten Fg a speethe renlttacdeon wed THEE Saupe seeple Pent Space Sometores we'll use scenario as a Synenyn he sompe pond. Dow Fs support Ta th LP seins F deucks the cenfom elements From (A, b,c). We can use the Fide (wv) and’ omega Cu) neteten on: ADE ant AN OYMe Retwarry fe owe LP fin cx st Aneh xro Ht doesit make any sence 40 Simp write min E « ~ rere lm " oh Aust Thi W-de fined |! xz0 The fiming of decrsras and observatmas of uncertainty eve met bee specrbied. Olay, suppose Ue finct observe CALL and then mate Aecrsten x. Thee deesit have anstting do uit “optiaiteton under Uncevtanty' becaase The optimized ts dae mma = determanishe setting , ce, you know (Abc) eh you Cleese %. Optmitadnn unde unenbinl mene Oe must chose first, bere knowing the realreetnn FCA EZ). tn tha cose Hi net cheer what ant optimality in the above ) we enn by fexcsit “vandoo Lracue pregran." Lefe dee ent Peasbilth, Resta.Seme Approaches b Feeshility Assume for the are kuown-) ‘the paomrnt [the “fat prode (5 tee B= A Sn: AMxe wen Optimidefoon Mode(s MIA sa. 8 dvan taser The Solutrr to the Lat model gues an x teat an any Scenarte weve modeled. “deat wth, is abject Luveta coettirrente ty TS od reo} accepted. uw cx xek Ais ad ventases Solectron og pessinrtre ~ only seer The wushrease scenarts) + het 12 Beh? + solutes kel, fe be “hash cove 2 Chance ~coashamed medal: rafrasibilit, accepted but eA with “smatl prolenbility - Caka probabilishe cons bamts) Torat chence~ cons tre model cx sd PCKa a Dew xr whee velar prespecitiedLe Tadividuat chance-coashamt model Mince sh PCR 2B) em, x20, whee neler, Of course, not all coefficients of A ond b my be Carden and ta this case we coats have some detevmraistre constants Ae 2 br ts dient ventese + magnate of urelaton iste s mnedel peck Driven by the woct-case seevarse + some appliertons ere ne henlly pa te pach Thr way, eg, coabubilih~ ei eerinatranietar bated wrodets compatetmel, tater then trodelong-lorsed Sieadventege! There sa eeleted bat larger resue 7A. op tiaitadun on the use of constants 12 model. Some consianty are leet enttamtey €3y physical conabalnt or legrcat constraint, Bul, many “constrarts” ave really, Softer in cealily. What does "“sabeshy (0 enrks of Bemarnd® green? “TE we wette a typreal Mtaear progrnumtny coastramt fe this i+ means the cost rs mfork if we decd sefish 12 snids of demand. Ant, the Selatron % epuelly bed if ue delve (0~£ versus delving ©. This motivates the use of “elaste” conshainty that alle Violetms with an appopviak pevaltyF. Simple ceceurse model 2 inteastbility rs accepted lot 15 penalzaed Let 32 (Brym, Im) >O demo per anit casts of vrolatng tel constant, le denote the posttive ~ part efteater Sts mar (S,0) , whack te appleed fo a vectr — Componrat = wise, The simple recourse model tx then min cx + Eg(0-Rx)* sd. %O- + Agary only a subsed of the coubemty may Trvelve Candemness. + The penatty fanetrr need not be Une, Off Tn the LP-settiny a precennse incur penalty Funetron ty used to penalise lerser vrola doar at eghee ates + The ovtstanl constraints are Ax 2b or b-Ax so se (L-An)* represents the Mogathde of urolatma ta each constant. Welt often vepuesent Such a wade as min cx ¢ Eh (% ¥) SH. xed tae Here, Ee fri xo ens Wy, F)2 9 (8-Any che Firs the random elemmds fem A and &.1s advan taser disade Motel cent driven by ee ase The weett-case Scemacte optim gation maalel set the prnalhy peed qrous often the timing of with the magaitade of ‘the ee rsros ar8 obsevvetons constant Urolatren af uncertainky 1s cichar then thie mudel allows Tn order te tseuts our weet Stockett: proyraun fe nee fe move auty from the mia ce Sho Ax eb xe Sethng. Essentially we till mretend move to a Steeting poet whee rs me ex 8 Fy si Ax ob “Bx + Dy =a K%e yx0 Agniny the ining of maki dectsinas aud observing uncertainty is ef — foremoct importance. Hove, and y ace distinguished by the fact thet + fiest we mate decrsma x 4 then we observe pantemness to (B,D, 4,0) Second we make decrsm yUsing the type of let F Revote the rotator we have develiped above, From (B,Dyd #) fandom element % Tuo-stase Streleitre [inere proram with pecoucte win cx 4 EhlxE) sa. Anz wre, where § he, FJ = men * mn Fy sd By= Ba ed The timing of deers ond uncertainty * Fist stage deers. When we mate dectsimn te knee (Abc), but we onl have clishibatmral fenmstedge of $= (8,5, FF). Fos then reatiaed, Yt Setand Stage dectsrn, When te mrcke deem 4 we kno the Gist stage decries & and wt know the retizeton of ECR DTT). Se, SEES Ge, the peated rs (8% DYI LY then JES Le, 9 adapts tb wv. OF course, cannot Aeperd on wo because tees Would cowvespend ty “kweutag the fictwe.”tue ad vandages disadumtases srore dyramre than the sis TH Aynomre enough” carlin Shate op fmitedne reece a wrodels, TH allot © design See ects Shap ard a recourse /coucctive aeton chase A simple ele, 1S the fest moment of Ells) enough? rangle (thet welll ceursit) fulasir 3, Ss cleo: 205, abe 5 are es ne BE La the fast stese ce rasta capacity x, fe at the Some nodes only frouing the dishibutna ef X= (4,5 Is) and a betged cons bent BPs Realtanten 4° cceurs aceodig ity probaly marr Lnedon PC T=d%)= e7 Ss Given sweeties Cry ant we) ard nen eomande JzC3Y, 3s A) Solve the trancporbehon Problem to optimally shp the commedity Benn source node tte demend node jhe the LP model fe Woe hace bern discussing ertendiny approscher te the stochestte domain utth a Reason harctting Feasibi The line betwerm Frsibility and optieality besen te blur when we penalized “rfrenbiliter” Reether Marvel Ta the Srmple retouae model and was tn the tue shoye vecanse model, whic ineloded second she ofermtnas costs 7a: the definition of h(x, 8). That Sed, we now turn eg ditcusion of approaches te Trending optimality 6 Meaimcre Expected Cort win EEX 5A Ayeh, x20 Pepuler bat de seu pref 41M ay a S0-C0 Chante at SDA (Mabel says quire indiPlnents) 2. Metousts Meen- Verrance model win ELZe] + ACuepes7]" we Efe + Aver Lex] ATO Cepersends deseee of rise aves Taherent Symone yy TA stag 15 eff cry ar a a teaswve Of ets ef thus model. wweakvestur 3. Minvarae Pr of Exceeding 0 Cott Theeshald wi Plex re), where Co fw prespecifeed cost thersheld Ther pith wrasure TF asymmetric lat a qoleuttal Shorkcoming 1 That if 18 iadiffeent fe the mogathade oF the Thertase or ences 4. Misswrae Expected Disutilih, af Cost min Eulex) * This 16 © very general wnadel. Fer trample, with acs) = f 1 gree > gee fe, UGS EG) we cece the omedel that dared aires The probability of ercenling « cost fhyerbold. Retomuntndatons om ebaoting al): [ & Fheutd be tncreasing , USO) POC iF diffenndae 2G shld be conver, 8%, WC) 20 Gh alt) 1. meant “the smaller the coef the beltre ard 2. menus That our averim to cost tecreaser watt loner Casts Ta the lmeer progremming selfing His offen natural te choote ls) fo be preceunse [acer cS cost