An agricultural investment problem subject to probabilistic constraints

Kawtar El Karfi (), René Henrion () and Driss Mentagui ()
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Kawtar El Karfi: Faculty of Sciences, Ibn Tofail University
René Henrion: Weierstrass Institute for Applied Analysis and Stochastics
Driss Mentagui: Faculty of Sciences, Ibn Tofail University

Computational Management Science, 2022, vol. 19, issue 4, No 6, 683-701

Abstract: Abstract Motivated by a model introduced by Moiseev, we consider a problem of optimal investment into agricultural infrastructure (irrigation, storage) under uncertainty (demand, yield coefficients of soil). Unlike the risk-neutral approach of Moiseev, we formulate a risk-averse model based on joint probabilistic or chance constraints. We assume the random vector to obey a continuous Gaussian distribution. The probabilities of satisfying the demand of cereals and of not wasting excess harvest up to some given thresholds are calculated in dependence on the investment decisions in a multiperiod setting. Numerical results are presented for a small-dimensional example.

Keywords: Reservoir management; Probabilistic constraints; Agricultural investment; Optimization with chance constraints; 90B05; 90C15 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10287-022-00431-1

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