Stochastic Programming and Decision Analysis: An Apparent Dilemma

Roger A. Blau

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Risk and Portfolio Optimization Capital Investment and Risk Analysis Optimization and Mathematical Programming

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.

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2004Linear Programming Under Uncertainty 1963Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints 1966Programming Under Uncertainty: The Equivalent Convex Program 1970The Value of Information and Stochastic Programming 1965On Stochastic Linear Programming 1965Constrained Generalized Medians and Hypermedians as Deterministic Equivalents for Two-Stage Linear Programs under Uncertainty

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