Robustness in stochastic programming models

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Abstract

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 SO2 emissions to wet surfate deposition at sensitive receptor locations. © 1993.

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Watanabe, T., & Ellis, H. (1993). Robustness in stochastic programming models. Applied Mathematical Modelling, 17(10), 547–554. https://doi.org/10.1016/0307-904X(93)90084-T

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