Reliability and decomposition techniques to solve certain class of stochastic programming problems

Mínguez, R., A.J. Conejo and García-Bertrand, R.

Reliability Engineering and System Safety, 2011, vol. 96, issue 2, 314-323

Abstract: Reliability based techniques has been an area of active research in structural design during the last decade, and different methods have been developed. The same has occurred with stochastic programming, which is a framework for modeling optimization problems involving uncertainty. The discipline of stochastic programming has grown and broadened to cover a wide range of applications, such as agriculture, capacity planning, energy, finance, fisheries management, production control, scheduling, transportation, water management, etc., and because of this, techniques for solving stochastic programming models are of great interest for the scientific community. This paper presents a new approach for solving a certain type of stochastic programming problems presenting the following characteristics: (i) the joint probability distributions of random variables are given, (ii) these do not depend on the decisions made, and (iii) random variables only affect the objective function. The method is based on mathematical programming decomposition procedures and first-order reliability methods, and constitutes an efficient method for optimizing quantiles in high-dimensional settings. The solution provided by the method allows us to make informed decisions accounting for uncertainty.

Keywords: Decision analysis; Reliability analysis; Risk measure; Stochastic programming; Uncertainty (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:96:y:2011:i:2:p:314-323

DOI: 10.1016/j.ress.2010.09.011

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