Stochastic programs and their value over deterministic programs

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dc.contributor.authorCorrigall, Stuart
dc.date.accessioned2018-04-05T11:01:56Z
dc.date.available2018-04-05T11:01:56Z
dc.date.issued1998
dc.descriptionA dissertation submitted to the Faculty of Arts, University of the Witwatersrand, Johannesburg, in fulfilment of the requirements for the degree of Master of Arts.en_ZA
dc.description.abstractReal-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.en_ZA
dc.description.librarianAC 2018en_ZA
dc.identifier.urihttps://hdl.handle.net/10539/24278
dc.language.isoenen_ZA
dc.subjectStochastic programming.en_ZA
dc.subjectProgramming (Mathematics)en_ZA
dc.titleStochastic programs and their value over deterministic programsen_ZA
dc.typeThesisen_ZA
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