# 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 ...
10 views

### 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 $B$ ...
1 vote
38 views

### 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 ...
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) \...
236 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 ...
1 vote
72 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 ...
231 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 ...
500 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 ...
109 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 ...
295 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 ...
134 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 ...