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A Numerical Method for Two-Stage Stochastic Programs under Uncertainty
Author
Source
Mathematical Problems in Engineering
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-07-04
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Motivated by problems coming from planning and operational management in power generation companies, this work extends the traditional two-stage linear stochastic program by adding probabilistic constraints in the second stage.
In this work we describe, under special assumptions, how the two-stage stochastic programs with mixed probabilities can be treated computationally.
We obtain a convex conservative approximations of the chance constraints defined in second stage of our model and use Monte Carlo simulation techniques for approximating the expectation function in the first stage by the average.
This approach raises with another question: how to solve the linear program with the convex conservative approximation (nonlinear constrains) for each scenario?
American Psychological Association (APA)
Bosch, Paul. 2011. A Numerical Method for Two-Stage Stochastic Programs under Uncertainty. Mathematical Problems in Engineering،Vol. 2011, no. 2011, pp.1-13.
https://search.emarefa.net/detail/BIM-502354
Modern Language Association (MLA)
Bosch, Paul. A Numerical Method for Two-Stage Stochastic Programs under Uncertainty. Mathematical Problems in Engineering No. 2011 (2011), pp.1-13.
https://search.emarefa.net/detail/BIM-502354
American Medical Association (AMA)
Bosch, Paul. A Numerical Method for Two-Stage Stochastic Programs under Uncertainty. Mathematical Problems in Engineering. 2011. Vol. 2011, no. 2011, pp.1-13.
https://search.emarefa.net/detail/BIM-502354
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-502354