Wednesday, 16:15 - 16:40 h, Room: MA 549


Lars Hellemo
Stochastic programming with decision dependent probabilities

Coauthors: Paul I. Barton, Asgeir Tomasgard


We propose an investment problem modeled as a stochastic program with decision dependent probabilities. In addition to the available production technologies, we assume there is an activity or technology available that will alter the probabilities of the discrete scenarios occuring. By investing in such technology or activity, it is possible to increase the probability of some scenarios, while reducing the probability of the remaining scenarios, or vice versa.
We also demonstrate the use of a specialized decomposition algorithm for this class of problems, using generalized Benders decomposition and relaxation of algorithms/McCormick relaxations.
We illustrate the potential usefulness and the performance of the decomposition algorithm on this class of problems through an application from the Energy business


Talk 3 of the invited session Wed.3.MA 549
"Stochastic programming in energy" [...]
Cluster 18
"Optimization in energy systems" [...]


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