I am trying to solve some of the stochastic optimization proposed problems for an Optimization course I joined.

One of the exercices asks to solve the Expected Value problem. I already made it.

Next exercise asks to solve the expected result of using the EV solution (EEV). So I started solving the |Ω| = 2 linear problems, one for each scenario, setting the decision variables to the values ​​obtained in the optimal solution of EV.

But it turned out that one of these two problems is infeasible. So, how can I calculate the EEV in this case?


1 Answer 1


A paper here speak of scenarios for EEV that are infeasible. Alternative is to use a complete recourse model, unfix stage 1 variables for the model to adapt. I guess you may experiment by making solution of the EV kind of upper/lower bounds for the stage 1 variables.


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