Optimization under Exogenous and Endogenous Uncertainty
Optimization under Exogenous and Endogenous Uncertainty
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外生和内生不确定性下的优化
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
J. Dupacová
中科院分区：
文献类型：
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作者：
J. Dupacová
习惯随机规划的目标是在随机元素实现之前做出最佳可行决策。通常的假设是，概率分布不依赖于决策——外生不确定性的情况。本文主要研究随机规划模型，通过决策，使决策依赖的内生随机性发挥作用。问题结构就变得很重要了。举例指出了可处理的案例和解决方法。
Customary stochastic programs aim at the best feasible decision made before the realization of the random element is observed. The common assumption is that the probability distribution does not depend on decisions — the case of the exogenous uncertainty. This paper focuses on stochastic programming models for which through decisions, a decision-dependent, endogenous randomness is put into effect. Problem structure then becomes important. Examples point out at tractable cases and solution techniques.