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Stochastic Programming and Decision Analysis: An Apparent Dilemma

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  • Roger A. Blau

    (University of North Carolina)

Abstract

An example is given which demonstrates that using a decision theory analysis for the basic chance-constrained model of stochastic linear programming may lead to an apparent dilemma, namely, 0 > EVSI > EVPI. The problem is discussed and a resolution suggested.

Suggested Citation

  • Roger A. Blau, 1974. "Stochastic Programming and Decision Analysis: An Apparent Dilemma," Management Science, INFORMS, vol. 21(3), pages 271-276, November.
    • Handle: RePEc:inm:ormnsc:v:21:y:1974:i:3:p:271-276
    DOI: 10.1287/mnsc.21.3.271
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    Cited by:

    1. Mohammad M. Khabbazan, 2022. "Cost-Risk Analysis Reconsidered—Value of Information on the Climate Sensitivity in the Integrated Assessment Model PRICE," Energies, MDPI, vol. 15(11), pages 1-17, June.
    2. Held, Hermann, 2020. "Cost Risk Analysisː How Robust Is It in View of Weitzman's Dismal Theorem and Undetermined Risk Functions?," WiSo-HH Working Paper Series 55, University of Hamburg, Faculty of Business, Economics and Social Sciences, WISO Research Laboratory.
    3. Robert F. Bordley & Stephen M. Pollock, 2009. "A Decision-Analytic Approach to Reliability-Based Design Optimization," Operations Research, INFORMS, vol. 57(5), pages 1262-1270, October.
    4. Hermann Held, 2019. "Cost Risk Analysis: Dynamically Consistent Decision-Making under Climate Targets," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 72(1), pages 247-261, January.
    5. Delf Neubersch & Hermann Held & Alexander Otto, 2014. "Operationalizing climate targets under learning: An application of cost-risk analysis," Climatic Change, Springer, vol. 126(3), pages 305-318, October.
    6. Bordley, Robert F. & Pollock, Stephen M., 2012. "Assigning resources and targets to an organization’s activities," European Journal of Operational Research, Elsevier, vol. 220(3), pages 752-761.
    7. Aouam, Tarik & Brahimi, Nadjib, 2013. "Integrated production planning and order acceptance under uncertainty: A robust optimization approach," European Journal of Operational Research, Elsevier, vol. 228(3), pages 504-515.
    8. Matthias Schmidt & Alexander Lorenz & Hermann Held & Elmar Kriegler, 2011. "Climate targets under uncertainty: challenges and remedies," Climatic Change, Springer, vol. 104(3), pages 783-791, February.

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