Questions tagged [uncertainty]

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Shortest path problem with time as a random variable with correlation

I'm trying to solve the $\alpha$-reliable shortest path problem with correlated time variables (travel time per arc), i.e. the shortest path subject to the constraint that the probability of arriving ...
Mathematician....'s user avatar
0 votes
0 answers
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Evaluate performance values following probability distributions in MCDM

If I have MCDM problems with performance values as "random variables", for instance, one value for object $A$ follows $\mathcal{N}(60,100)$ and the same criterion value for object $B$ ...
Maul Seil's user avatar
1 vote
1 answer
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Number of scenarios in non-deterministic optimization methods

I am investigating an optimization problem under uncertainty and am using scenario-based robust optimization to deal with uncertainties. I have developed a heuristic approach in which I can set the ...
mdslt's user avatar
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4 votes
2 answers
163 views

How to approximate an uncertain constraint?

Suppose $\theta$ is the uncertain vector of parameters and it varies within the interval $\Theta$. We have the following uncertain constraint. $$ \sum_{i} f_i(x,\theta) \ge \sum_{j} g_j(x,\theta) \...
Amin's user avatar
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6 votes
2 answers
246 views

Robust optimization for IP formulation

I am researching the robust version of a problem. I have managed to produce an Integer programming formulation which solves the problem with perfect knowledge. From my research on the topic one can ...
Pia MiA's user avatar
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1 vote
1 answer
80 views

Can stochastic dual dynamic programming algorithm (or any variant of it) handle multi-stage optimization problems with here-and-now uncertainty nodes?

Stochastic dual dynamic programming (SDDP) algorithm solves stage-wise optimization problem through sampling scenarios. In this regard, it is obvious to see that wait-and-see uncertainty can be easily ...
Engr. Moiz Ahmad's user avatar
6 votes
1 answer
237 views

How to cope with the rigidity of solutions?

Consider the following problem of Technician Routing and Scheduling Problem. We have: A set of customers where each customer needs the intervention of a technician to do some job. Each customer has a ...
BloodyOrange's user avatar
11 votes
1 answer
520 views

How is optimization under uncertainty done in real world applications?

In this post What is robust optimization? there is a nice introduction to robust optimization. There are many concept for uncertainty in optimization problems like robust optimization stochastic ...
user3680510's user avatar
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2 votes
2 answers
118 views

How to generate correlated samples?

The variation of the average price of a product over a longer period is generally lower than a shorter period. I am interested to capture both uncertainties as to the input of the stochastic ...
SAH's user avatar
  • 294
8 votes
1 answer
298 views

Safety stock when there is uncertainty in order completion

Safety stocks account for uncertainty both on demand and provider lead times, but never mention how to include the effect of incomplete orders. For example, what would happen if a provider always ...
Benjamín J Barros G's user avatar
12 votes
1 answer
139 views

Model or State Uncertainty in Queueing Model due to uncertain arrival rate

Introduction I am currently modelling a scenario where two queues need to be served by a single server in a non preemptive discipline. I am quite sorted on generating the optimal policy via Value or ...
Dylan Solms's user avatar
16 votes
4 answers
1k views

Modeling the uncertainty of the input parameters

There are many approaches to deal with the uncertainty such as stochastic programming, robust optimization and fuzzy programming. Finding a suitable approach that is applicable in the real situations ...
Mehdi's user avatar
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11 votes
2 answers
241 views

Families of methods to deal with criterion uncertainties in multicriteria decision analysis

In MCDA, which family methods deal with uncertain criterion-specific values? What is MCDA? Multiple-criteria decision analysis, refereed as MCDA, is a sub-field of Operations Research for aiding in ...
JKHA's user avatar
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