24 julio, 2018
12:00 pma1:00 pm

Speaker: Laureano F. Escudero (Universidad Rey Juan Carlos).

Title: “On capacity expansion planning under strategic and operational uncertainties for stochastic dominance risk averse-based management”.

Date: martes 24 de julio, 12:00 horas.

Localication: Sala de Seminarios del CIO (Edificio Torretamarit).

Abstract. A new scheme for dealing with uncertainty in scenario trees is presented for dynamic mixed 0-1 optimization problems with strategic and operational stochastic parameters. Let us generically name this type of problems as Capacity Expansion Planning (CEP) in a given system, e.g., supply chain, production, rapid transit network, energy generation and transmission network, forest fire management, etc. The strategic scenario tree is usually a multistage one, and the replicas of the strategic nodes root structures in the form of either a special scenario graph or a two-stage scenario tree, depending on the type of operational activity in the system. Those  operational scenario structures impact in the constraints of the model and, thus, in the decomposition methodology for solving usually large-scale problems. This work presents the modeling framework for some of the risk neutral and risk averse measures to consider for CEP problem solving. Two types of risk averse measures are considered. The first one is a time-inconsistent mixture of the chance constrained and second-order stochastic dominance (SSD) functional of the value of a given set of functions up to the strategic nodes in selected stages along the time horizon.