Accession Number : ADA308904
Title : Response Surface Analysis of Two-Stage Stochastic Linear Programming with Recourse.
Descriptive Note : Doctoral thesis,
Corporate Author : AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH
Personal Author(s) : Bailey, Thomas G.
PDF Url : ADA308904
Report Date : 23 OCT 1995
Pagination or Media Count : 263
Abstract : This research investigates a special class of stochastic linear programs known as two-stage stochastic linear programming with relatively complete and fixed recourse. These models characterize a two-phase process where the first- stage decision (itself subject to a separate set of first-stage linear constraints) allocates a set of resources to the second-stage linear program prior to the realization of random variables affecting second-stage resource availability. Since the second-stage decision deterministically follows both first-stage allocation and random variable realization, the first-stage variables constitute the only true decision. The expected cost of the two-stage recourse problem is also a piecewise convex function of the first-stage decision variables, thus allowing a global optimal solution that minimizes the total expected cost.
Descriptors : *SURFACE ANALYSIS, *STOCHASTIC PROCESSES, *LINEAR PROGRAMMING, GLOBAL, OPTIMIZATION, DECISION MAKING, RANDOM VARIABLES, MATHEMATICAL PROGRAMMING, COSTS, AVAILABILITY, SOLUTIONS(GENERAL), RESPONSE, RESOURCES, TWO PHASE FLOW, CONVEX BODIES.
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE