I am a Bitcoin / Lightning Network open source developer and researcher and new here but very active on the sister site. In the context of my research I discovered the field of operations research and I have a problem that I am sure has been solved before but I fail to find the solution or the problem in the literature.
Background
In my context I have a transportation network where the convex (in practice I linearize it but I thought I describe the problem in the original form) cost function for each arc with capacity $c$ encodes the uncertainty weather $a$ units can be forwarded. This is expressed as:
$$ cost(a) = -\log(P(X>=a)) = -\log\left(\frac{c+1-a}{c+1}\right) $$
Let $mcf(a)$ be the solution of the corresponding Minimum Cost Flow Problem as described in this research article. Then $P(mcf(a)) = 2^{-cost(mcf(a))}$ can be seen as the probability for $a$ units to successfully flow through the network.
for a fixed source and sink node pair on a small example network I have computed the probabilities for various amounts of goods for the resulting flows as can be seen in this diagram:
The probability of success drops stronger than exponentially with more units to be sent. Which makes sense from a probabilistic perspective.
Actual Question / Problem
One can multiply for each amount $a$ the amount with the resulting probability $p$ of the corresponding minimum cost flow and receive the expected amount that will be delivered through the network. For the small sample network I have done this in the following diagram for every possible amount $a$ that produced a feasible flow.
So my goal is to find the maximum of this function without having to solve the min cost flow problem several times. So I seek the expectation value or the solution of
$$ EV = argmax_{a}\{a\cdot P(mcf(a))\} $$
Of course I can do this as done here in a small network by computing the result of the minimum cost flow problem for every amount but I wish to find a more straight forward approach for this second stage optimization problem.
While searching the literature I found stochastic programming but I feel a bit uncertain if I have to learn the techniques in that field to solve my problem. However the problem seems to me to be common enough in the sense that it should be known. Of course the most desirable goal would be if an open source software solver for the problem already existed.
