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Stochastic Programming: introduction and examples

Stochastic programming : introduction and examples COSMO Stochastic Mine Planning Laboratory Department of Mining and Materials Engineering Amina Lamghari Outline What is Stochastic programming ? Why should we care about Stochastic programming ? The farmer s problem General formulation of two-stage Stochastic programs with recourse introduction Mathematical programming , alternatively Optimization, is about decision making Decisions must often be taken in the face of the unknown or limited knowledge (uncertainty) Market related uncertainty Technology related uncertainty (breakdowns) Weather related How to deal with uncertainty? Ignore it? The uncertain factors might interact with our decision in a meaningful Carefully determine the problem parameters? No matter how careful we are, we cannot get rid of the inherent Stochastic programming is the way ! What is Stochastic programming ?

Introduction • Mathematical Programming, alternatively Optimization, is about decision making • Decisions must often be taken in the face of the unknown or limited knowledge (uncertainty) • Market related uncertainty • Technology related uncertainty (breakdowns) • Weather related uncertainty….

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