Chance constraint programming problems with parameters as exponential random variable

• Autorzy: Sarkar Vaskar

Identyfikatory

DOI

10.14708/ma.v49i1.7051

Warianty tytułu

PL

Sprowadzanie zadań programowanie z losowymi ograniczeniami do ograniczeń z rozkładem wykładniczymi

• Języki publikacji: EN

Abstrakty

EN

Robust decision making under uncertainty is deemed to be a crucial factor in many disciplines and application areas. In addition, management and measurement of risk is an important issue in almost all areas that require decisions to be made under uncertain information. Chance constrained programming (CCP) has been used for modelling and analysis of risks in a number of application domains. This paper presents a deterministic reduction of a linear and nonlinear chance constraint programming problem using simple mathematical and statistical tools, assuming the coefficients of the decision variables in the chance constraints as exponential random variables. After converting the proposed chance constraint programming problem into a deterministic problem, a standard generic package is used to find the compromise solution and a comparison with some other techniques is considered. Then MATLAB programming code is used to verify the validity of solution for the original chance constraints.

PL

Podejmowanie decyzji w warunkach niepewności jest kluczowym czynnikiem wpływającym na efektywność i opłacalność projektów w wielu dyscyplinach badawczych i działalności gospodarczej. W związku z tym, zarządzanie i pomiar ryzyka są ważną kwestią w prawie wszystkich obszarach, które wymagają podejmowania decyzji na podstawie niepewnych informacji. Programowanie ograniczone szansą (CCP) zostało wykorzystane do modelowania i analizy ryzyka w wielu dziedzinach aplikhttps://www.overleaf.com/project/5ff6f9808edae84a1313f60bacji. W artykule przedstawiono deterministyczną redukcję liniowego i nieliniowego problemu programowania z ograniczeniami losowymi z wykorzystaniem prostych narzędzi. Po przekształceniu proponowanego problemu programowania z ograniczeniami losowymi w problem deterministyczny, do dalszej analizy i wyznaczenia rozwiązania używane są standardowe metody optymalizacji. W pracy podano także porównania przy zastosowaniu innych, niż standardowe metod. Rezultaty porównano z rozwiązaniami wyjściowych problem, bez przekształcania, otrzymanych procedurami zaimplementowanymi w MATLAB.

Słowa kluczowe

EN

stochastic programming; chance constraint programming; exponential random variable; hypo exponential random variable; deterministic implicative reduction; non-linear programming

PL

programowanie stochastyczne; programowanie z ograniczeniami szans; wykładnicza zmienna losowa; hipo wykładnicza zmienna losowa; deterministyczna redukcja implikatywna; programowanie nieliniowe

• Wydawca: Polskie Towarzystwo Matematyczne
• Czasopismo: Mathematica Applicanda
• Rocznik: 2021
• Tom: Vol. 49, no. 1
• Strony: 15--30
• Opis fizyczny: Bibliogr. 39 poz., fot., tab., wykr.

Twórcy

autor

Sarkar Vaskar

• Adamas University, Department of Mathematics, School of Basic and Applied Sciences, Barasat, Kolkata, West Bengal, Zip - 700126, India

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2021).