Cost/risk balanced management of scarce resources using stochastic programming

European Journal of Operational Research

Volumn 216, Issue 1, 2012, Pages 214-224

  Gaivoronski, Alexei ^a   Sechi, Giovanni M ^b   Zuddas, Paola ^b  

^a NORWEGIAN UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Norway)

^b UNIVERSITY OF CAGLIARI   (Italy)

Author keywords

OR in natural resources; Risk management; Risk performance tradeoff; Stochastic programming; Water resources management

Indexed keywords

BALANCED MANAGEMENT; COST OPTIMIZATION; DECISION VARIABLES; DETERMINISTIC MODELS; FURTHER DEVELOPMENT; GENERAL METHODOLOGIES; NUMERICAL EXPERIMENTS; OPTIMIZATION MODELS; OR IN NATURAL RESOURCES; REAL PHYSICAL SYSTEMS; RENEWABLE RESOURCE; REOPTIMIZATION; RESOURCE MANAGEMENT; RISK MANAGEMENT MODELS; SCARCE RESOURCES; TARGET DELIVERY; WATER RESOURCES MANAGEMENT; WORST CASE SCENARIO;

OPTIMIZATION; RISK MANAGEMENT; RISK PERCEPTION; STOCHASTIC MODELS; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS; WATER RESOURCES;

NATURAL RESOURCES MANAGEMENT;

EID: 80052701939     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2011.06.040     Document Type: Article

References (42)

1. P. Artzner, F. Delbaen, J.-M. Eber, and D. Heath Coherent measures of risk Mathematical Finance 9 1999 203 228
2. M.N. Azaiez, and M. Hariga A single-period model for conjunctive use of ground and surface water under severe overdrafts and water deficit European Journal of Operational Research 133 2001 653 666 (Pubitemid 32599562)
3. J.R. Birge, and F. Louveaux Introduction to Stochastic Programming 1997 Springer New York
4. M. Bravo, and I. Gonzalez Applying stochastic goal programming: A case study on water use planning European Journal of Operational Research 196 2009 1123 1129
5. C.M.N. Cervellera, V.C.P. Chen, and A. Wen Optimization of a large-scale water reservoir network by stochastic dynamic programming with efficient state space discretization European Journal of Operational Research 171 2006 1139 1151 (Pubitemid 43132968)
6. D.R. Cariño, and W.T. Ziemba Formulation of the Russell-Yasuda-Kasai financial planning model Operations Research 46 4 1998 433 449 (Pubitemid 128665755)
7. G. Consigli, and M.A.H. Dempster Dynamic stochastic programming for asset liability management Annals of Operations Research 81 1998 131 162 (Pubitemid 128114078)
8. R. Dembo A robust approach for water resources planning under uncertainty Annals of Operations Research 95 1995 313 339
9. M. Di Francesco, T.G. Crainic, and P. Zuddas The effect of multi-scenario policies on empty container repositioning Transportation Research Part E 45 2009 758 770
10. J. Dupacová, A. Gaivoronski, Z. Kos, and T. Szantai Stochastic programming in water management: A case study and a comparison of solution techniques European Journal of Operational Research 52 1 1991 28 44 (Pubitemid 21668529)
11. Yu. Ermoliev, and R.J.B. Wets Numerical Techniques for Stochastic Optimization 1988 Springer Verlag Berlin
12. L.F. Escudero, and J.F. Monge A model for risk minimization on water resource usage failure International Journal of Risk Assessment and Management 10 4 2008 386 403
13. S.E. Fleten, and T.K. Kristoffersen Short-term hydropower production planning by stochastic programming Computers and Operations Research 35 2006 2656 2671
14. A. Gaivoronski, and P.E. de Lange An asset liability management model for casualty insurers: Complexity reduction vs. parametrized decision rules. Annals of Operations Research 99 2000 227 250 (Pubitemid 33287493)
15. A. Gaivoronski, and J. Zoric Evaluation and design of business models for collaborative provision of advanced mobile data services: Portfolio theory approach S. Raghavan, B. Golden, E. Wasil, Telecommunications Modeling, Policy, and Technology 2008 Springer New York 353 385
16. A. Gaivoronski Stochastic optimization in telecommunications M.G.C. Resende, P.M. Pardalos, Handbook of Optimization in Telecommunications Vol. 27 2006 Springer New York 761 799
17. G.D. Glockner, and G. Nemhauser A dynamic network flow problem with uncertain arc capacity: Formulation and problems structure Operations Research 48 2 2000 233 242
18. S. Hajkowicz, and A. Higgins A comparison of multiple criteria analysis techniques for water resource management European Journal of Operational Research 184 2008 255 265 (Pubitemid 47368912)
19. J.L. Higle, and S. Sen Stochastic Decomposition: A Statistical Method for Large Scale Stochastic Linear Programming 1996 Dordrecht Boston
20. G.H. Huang A hybrid inexact-stochastic water management model European Journal of Operational Research 107 1998 137 158 (Pubitemid 128391334)
21. K. Høyland, and S.W. Wallace Generating scenario trees for multistage decision problems Management Science 47 2 2001 295 307 (Pubitemid 34192765)
22. P. Kall, and S. Wallace Stochastic Programming 1994 Wiley and Sons New York
23. A.J. Kleywegt, and A. Shapiro Stochastic Optimization G. Salvendy, Handbook of Industrial Engineering 3rd ed. 2001 John Wiley & Sons
24. D.P. Loucks, J.R. Stedinger, and D.A. Haith Water Resource Systems Planning and Analysis 1981 Prentice Hall New York
25. C. Lucas, S.A. MirHassani, C.A. Poojari, and G. Mitra An application of langran relaxation to a capacity planning problem under uncertainty Journal of the Operational Research Society 52 11 2001 1256 1266 (Pubitemid 33085250)
26. Manca, A.; Sechi, G.M.; Zuddas, P.; Scenario Reoptimisation under Data Uncertainty, In: C. Pahl-Wostl, S. Schmidt, A.E. Rizzoli, A.J. Jakeman (Eds.), Complexity and Integrated Resources Management, iEMSs Transactions, vol.1, (2004), pp. 771-776.
27. I. Maqsood, G.H. Huang, and J.S. Yeomans An interval-parameter fuzzy two-stage stochastic program for water resources management under uncertainty European Journal of Operational Research 167 2005 208 225 (Pubitemid 40220011)
28. C.E. Mariano-Romero, V.H. Alcocer-Yamanaka, and E.F. Morales Multi-objective optimization of water-using systems European Journal of Operational Research 181 2007 1691 1707 (Pubitemid 46522497)
29. H. Markowitz Portfolio Selection second ed. 1991 Blackwell
30. J.M. Mulvey, and H. Vladimirou Stochastic network optimisation models for investment planning Annals of Operation Research 20 1991 187 217
31. S. Pallottino, G.M. Sechi, and P. Zuddas A DSS for water resources management under uncertainty by scenario analysis Environmental Modelling & Software 20 8 2004 1031 1042
32. G.Ch. Pflug Optimization of Stochastic Models The Interface Between Simulation and Optimization 1996 Kluwer Boston
33. RAS (2005)-Regional Sardinian Autority, Water Resources Management Report, in Italian: Regione Autonoma della Sardegna, Piano Stralcio di Bacino Regionale per l'utilizzo delle risorse idriche, Deliberazione 17/6.
34. R.T. Rockafellar, and R.J.B. Wets Scenarios and policy aggregation in optimization under uncertainty Mathematics of Operations Research 16 1 1991 119 147
35. W. Römisch, and R. Schultz Multistage stochastic integer programming: An introduction S.O. Krumke, M. Grötschel, J. Rambau, Online Optimization of Large Scale Systems 2001 Springer-Verlag Berlin 581 600
36. A. Ruszczynski Decomposition methods in stochastic programming Mathematical Programming 79 1997 333 353 (Pubitemid 127397733)
37. G.M. Sechi, F. Salis, and P. Zuddas Optimization Model for the Conjunctive Use of Conventional and Marginal Waters J. Andreu, G. Rossi, F. Vagliasindi, A. Vela, Drought Management and Planning for Water Resources 2005 T&F 73 117
38. L. Stougie, P. Schütz, and A. Tomasgard Stochastic facility location with general long-run costs and convex short-run costs Computers and OR 35 9 2008 2988 3000 (Pubitemid 351186812)
39. Uryasev S.; Rockafellar, R.T. (1999). Optimization of conditional value-at-risk. Technical Report 99-4, ISE Dept. Univeristy of Florida.
40. S.W. Wallace, and W.T. Ziemba Applications of Stochastic Programming MPS-SIAM Series in Optimization 2005 SIAM & MPS
41. S.Q. Weng, G.H. Huang, and Y.P. Li An integrated scenario-based multi-criteria decision support system for water resources management and planning-A case study in the Haihe River Basin Expert Systems with Applications 37 2010 8242 8254
42. S.A. Zenios Practical Financial Optimization 2008 Wiley-Blackwell