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An agricultural investment problem subject to probabilistic constraints

Author

Listed:
  • Kawtar El Karfi

    (Faculty of Sciences, Ibn Tofail University)

  • René Henrion

    (Weierstrass Institute for Applied Analysis and Stochastics)

  • Driss Mentagui

    (Faculty of Sciences, Ibn Tofail University)

Abstract

Motivated by a model introduced by Moiseev, we consider a problem of optimal investment into agricultural infrastructure (irrigation, storage) under uncertainty (demand, yield coefficients of soil). Unlike the risk-neutral approach of Moiseev, we formulate a risk-averse model based on joint probabilistic or chance constraints. We assume the random vector to obey a continuous Gaussian distribution. The probabilities of satisfying the demand of cereals and of not wasting excess harvest up to some given thresholds are calculated in dependence on the investment decisions in a multiperiod setting. Numerical results are presented for a small-dimensional example.

Suggested Citation

  • Kawtar El Karfi & René Henrion & Driss Mentagui, 2022. "An agricultural investment problem subject to probabilistic constraints," Computational Management Science, Springer, vol. 19(4), pages 683-701, October.
    • Handle: RePEc:spr:comgts:v:19:y:2022:i:4:d:10.1007_s10287-022-00431-1
    DOI: 10.1007/s10287-022-00431-1
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