Seminar 13th January 2011 4 p.m. University of Southampton, 2/3041
How useful is the deterministic solution?
Stein W. Wallace
Lancaster University Management School
- Web page
- http://www.cormsis.soton.ac.uk/seminars/default.php
- Categories
- Complex Systems
- Submitter
- Petrina Butler
CORMSIS Seminar: Professor Stein W. Wallace
CORMSIS: Centre for Operational Research, Management Science and Information Systems
Abstract
Stochastic programs are usually hard to solve when applied to real-world problems. A common approach is to consider the simpler deterministic program in which random parameters are replaced by their expected values.
The Value of the Stochastic Solution - VSS - is normally used to measure the importance of using a stochastic model. It measures the expected loss of using the deterministic solution rather than the one from the stochastic program.
But what if VSS is large, or expected to be large, but we cannot solve the relevant stochastic program? Shall we just give up?
In this talk we investigate very simple methods for studying structural similarities and differences between the stochastic solution and its deterministic counterpart. The aim of the methods is to find out, even when VSS is large, if the deterministic solution carries useful information for the stochastic case. It turns out that a large VSS does not necessarily imply that the deterministic solution is useless for the stochastic setting. Measures of the structure and upgradeability of the deterministic solution such as the loss using the skeleton solution and the loss of upgrading the deterministic solution will be introduced and basic inequalities in relation to the standard VSS will be presented and tested on different case studies.
Professor Stein W. Wallace (a guest of Professor Lyn Thomas)
Contact
Katarzyna (Kasia) Bijak
CORMSIS Facilitator
School of Management/School of Mathematics
University of Southampton
Highfield Campus, Southampton
Tel: +44 (0)23 8059 8964