OPTIMIZATION SEMINAR
Brainstorming Session on Stochastic Linear Programming
Marcus Emsermann and Allen Holder
University of Colorado at Denver
Department of Mathematics
Tuesday, Sep. 16, 1997, 12:00 noon
CU-Denver Bldg., Room 626
ABSTRACT:
Consider the stochastic linear program, min {cx:Ax=b,x >= 0}, where c_i is
uniformly distributed on [a_i,b_i]. The use of the analytic center
solution and subsequent parametric analysis is proposed to decide which
decision variables are most likely to be positive. It is shown that if the
measure of the supports of the uniform distributions are sufficiently
small, then the analytic center solution yields immediate information
about which decision variables are zero. Furthermore, parametric
programming techniques are used to attain probabilistic estimates that
indicate the most likely positive decision variable.