Stochastic programs and their value over deterministic programs
Date
1998
Authors
Corrigall, Stuart
Journal Title
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Abstract
Real-life decision-making problems can often be modelled by mathematical programs (or
optimization models). It is common for there to be uncertainty about the parameters of
such optimization models. Usually, this uncertainty is ignored and a simplified
deterministic program is obtained. Stochastic programs take account of this uncertainty by
including a probabilistic description of the uncertain parameters in the model. Stochastic
programs are therefore more appropriate or valuable than deterministic programs in many
situations, and this is emphasized throughout the dissertation. The dissertation contains a
development of the theory of stochastic programming, and a number of illustrative
examples are formulated and solved. As a real-life application, a stochastic model for the
unit commitment problem facing Eskom (one of the world's largest producers of electricity)
is formulated and solved, and the solution is compared with that of the current strategy
employed by Eskom.
Description
A dissertation submitted to the Faculty of Arts, University of the Witwatersrand,
Johannesburg, in fulfilment of the requirements for the degree of Master of Arts.
Keywords
Stochastic programming., Programming (Mathematics)