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Correlations in stochastic programming:a case from stochastic service network design

Lium, Arnt-Gunnar and Crainic, Teodor Gabriel and Wallace, Stein W (2007) Correlations in stochastic programming:a case from stochastic service network design. Asia-Pacific Journal of Operational Research, 24 (2). pp. 161-179. ISSN 0217-5959

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Abstract

Deterministic models, even if used repeatedly, will not capture the essence of planning in an uncertain world. Flexibility and robustness can only be properly valued in models that use stochastics explicitly, such as stochastic optimization models. However, it may also be very important to capture how the random phenomena are related to one another. In this article we show how the solution to a stochastic service network design model depends heavily on the correlation structure among the random demands. The major goal of this paper is to discuss why this happens, and to provide insights into the effects of correlations on solution structures. We illustrate by an example.

Item Type: Article
Journal or Publication Title: Asia-Pacific Journal of Operational Research
Uncontrolled Keywords: Stochastic programming ; service network design ; correlations ; flexibility ; robustness ; solution structure
Subjects: UNSPECIFIED
Departments: Lancaster University Management School > Management Science
ID Code: 45404
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 19:31
Refereed?: Yes
Published?: Published
Last Modified: 26 Jul 2012 19:16
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/45404

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