Robustness in stochastic programming models

• Published in: Applied mathematical modelling Vol. 17; no. 10; pp. 547 - 554
• Main Authors: Watanabe, Tsunemi, Ellis, Hugh
• Format: Journal Article
• Language: English
• Published: New York, NY Elsevier Inc 1993; Elsevier Science
• Subjects: Applied sciences; environmental management; Exact sciences and technology; Mathematical programming; Operational research and scientific management; Operational research. Management science; robustness; stochastic programming; two-stage programming; robustness; two-stage programming; stochastic programming; environmental management; Acid rain; Robustness; Environmental management; Mathematical programming; Stochastic programming
• ISSN: 0307-904X
• DOI: 10.1016/0307-904X(93)90084-T

Robustness in stochastic programs is addressed through the development of a two-stage stochastic programming model with simple recourse that includes an additional robustness objective. The model is applied to a problem in acid rain control that involves the allocation of emission reductions to meet environmental quality standards in eastern North America. Tradeoffs are generated between the original objective function of the two-stage model (that minimizes expectedconstraint violation) and the second robustness objective, which represents the gradient of the two-stageobjective with respect to selected model parameters. In this application, the parameters are the second moments of transfer coefficients that relate point source SO 2 emissions to wet surfate deposition at sensitive receptor locations.