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The Stochastic Optimization Problem
MS&E348Winter 2011/2012
Professor Gerd Infanger
The Stochastic linear program with recourse
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For convenience, define
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The stochastic optimization problem
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The stochastic optimization problem (cont.)
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The “wait and see” approach
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The “here and now” approach
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The “expected value” approach
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The “expected value” approach (cont.)
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Assessment of the different approaches
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Bounds on EVPI and VSS
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Solutions of the stochastic optimization problem
objective
EVPI VSS
Bound on either EVPI or VSS
Definitions
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Simple recourse
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