Building a stochastic programming model from scratch: a harvesting management example

作     者：Rios, Ignacio Weintraub, Andres Wets, Roger J. -B. 

作者机构：Univ Chile Dept Ind Engn Santiago Chile Univ Calif Davis Dept Math Davis CA 95616 USA 

出 版 物：《QUANTITATIVE FINANCE》 (定量金融)

年 卷 期：2016年第16卷第2期

页      面：189-199页

核心收录：

学科分类：02[经济学] 1202[管理学-工商管理] 0201[经济学-理论经济学] 0701[理学-数学] 

基　　金：Complex Engineering Systems Institute [ICM:P-05-004-F, CONICYT: FBO16] AND under Fondecyt 

主　　题：Stochastic programming Scenario generation Scenario trees Stochastic evaluation 

摘      要：We analyse how to deal with the uncertainty before solving a stochastic optimization problem and we apply it to a forestry management problem. In particular, we start from historical data to build a stochastic process for wood prices and for bounds on its demand. Then, we generate scenario trees considering different numbers of scenarios and different scenario-generation methods, and we describe a procedure to compare the solutions obtained with each approach. Finally, we show that the scenario tree used to obtain a candidate solution has a considerable impact in our decision model.