Sensitivity Analysis of Optimal Solutions for Objective Functions with Stochastic Parameters.

Abstract

The purpose of this paper is to develop a definitional framework for the constrained optimization of an objective function with stochastic parameters. Included in this definitional framework are the construction of a deterministic reformulation for the stochastic problem, guidelines for selecting an algorithm for optimizing the deterministic reformulation and a criterion, called invariance, which is used for solution sensitivity analysis in the context of stochastic parameter behavior. Illustration of the application of the definitional framework and an analysis of the conditions imposed by the invariance criterion is provided for linear, piecewise linear, and quadratic functions. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1977
Accession Number
ADA039698

Entities

People

  • John Wallace Simmons Ii

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Ground and Sea Platforms
  • Human Systems

DTIC Thesaurus Topics

  • Algorithms
  • Game Theory
  • Invariance
  • Linear Programming
  • Mathematical Models
  • Models
  • Operations Research
  • Optimization
  • Probability
  • Procurement
  • Random Variables
  • Simplex Method
  • Standards

Fields of Study

  • Mathematics

Readers

  • Life Cycle Cost Analysis
  • Mathematical Modeling and Probability Theory.
  • Operations Research