IDEAS home Printed from https://ideas.repec.org/a/eee/matcom/v35y1993i6p469-480.html
   My bibliography  Save this article

Monte Carlo simulation for analysis of the optimum value distribution in stochastic mathematical programs

Author

Listed:
  • Sarper, Hüseyin

Abstract

This paper shows how simulation can be used to quickly solve an otherwise complex mathematical problem of derivation of the optimum value distribution function in stochastic mathematical programs. Two software packages (LINDO and UNIFIT II) are used along with a FORTRAN code in simulating and analyzing a given linear program with stochastic coefficients. Two previously analytically solved problems are resolved using simulation to show that simulation is indeed an effective method of solution.

Suggested Citation

  • Sarper, Hüseyin, 1993. "Monte Carlo simulation for analysis of the optimum value distribution in stochastic mathematical programs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 35(6), pages 469-480.
  • Handle: RePEc:eee:matcom:v:35:y:1993:i:6:p:469-480
    DOI: 10.1016/0378-4754(93)90065-3
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0378475493900653
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/0378-4754(93)90065-3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Jerome Bracken & Richard M. Soland, 1966. "Statistical decision analysis of stochastic linear programming problems," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 13(3), pages 205-225, September.
    2. Hiroyuki Itami, 1974. "Expected Objective Value of a Stochastic Linear Program and the Degree of Uncertainty of Parameters," Management Science, INFORMS, vol. 21(3), pages 291-301, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Qin, Rui & Liu, Yan-Kui, 2010. "Modeling data envelopment analysis by chance method in hybrid uncertain environments," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(5), pages 922-950.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kangas, Annika S. & Kangas, Jyrki, 2004. "Probability, possibility and evidence: approaches to consider risk and uncertainty in forestry decision analysis," Forest Policy and Economics, Elsevier, vol. 6(2), pages 169-188, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:35:y:1993:i:6:p:469-480. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.