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2014-12-30Buch DOI: 10.18452/8443
Distribution shaping and scenario bundling for stochastic programs with endogenous uncertainty
dc.contributor.authorLaumanns, Marco
dc.contributor.authorPrestwich, Steven
dc.contributor.authorKawas, Ban
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:31:51Z
dc.date.available2017-06-16T20:31:51Z
dc.date.created2015-01-20
dc.date.issued2014-12-30
dc.date.submitted2014-10-31
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9095
dc.description.abstractStochastic programs are usually formulated with probability distributions that are exogenously given. Modeling and solving problems withendogenous uncertainty, where decisions can influence the probabilities, has remained a largely unresolved challenge. In this paper we develop a new approach to handle decision-dependent probabilities based on the ideaof distribution shaping. It uses a sequence of distributions, successively conditioned on the influencing decision variables, and characterizes these by linear inequalities. We demonstrate the approach on a pre-disaster planning problem of finding optimal investments to strengthen links ina transportation network, given that the links are subject to stochastic failure. Our new approach solves a recently considered instance of the Istanbul highway network to optimality within seconds, for which only approximate solutions had been known so far.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subject.ddc510 Mathematik
dc.titleDistribution shaping and scenario bundling for stochastic programs with endogenous uncertainty
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100225710
dc.identifier.doihttp://dx.doi.org/10.18452/8443
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages24
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2014
local.edoc.container-issue5
local.edoc.container-erstkatid2936317-2

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